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An orthonormal system of functions \\((u_k; k \\geq 0)\\) defined on \\(\\Omega\\) is called an \\textit{H-system} if and only if for any \\(X \\in L^2(\\Omega, {\\mathcal A}, P)\\)  \\[  X_{{\\mathcal A}_n} \\equiv {\\mathbf E}(X|u_0,u_1, \\dots, u_n)= \\sum_{k=0}^n (X, u_k)u_k,\\quad \\text{for\\;all}\\;n \\geq 0.  \\]  This paper studies this class of orthonormal systems and their potential to perform lossy compression. From a theoretical point of view they are interesting as the sequence of approximations is a martingale. Moreover, for a given collection of random variables \\({\\mathcal X} = (X_1 \\dots X_d)\\), the authors show how to construct the system \\((u_k)\\) adaptively to obtain efficient approximations. Here the word \\textit{adapted} is used in two different ways. First, the system \\((u_k)\\) will be constructed in an optimal way using the set \\(\\mathcal X\\) (and hence adapted to \\(\\mathcal X\\)) and, second, the \\(u_k\\) are simple functions which are adapted (according to measure theory) to the sigma algebras \\(\\sigma(u_0,\\dots,u_n)\\) which form a natural filtration in the sense that the filtration generates \\(\\sigma({\\mathcal X})\\).  The main contribution of this paper is in the construction, via the greedy splitting algorithm, of H--systems adapted to a collection of random variables and in showing the usefulness of these approximations in a concrete 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