Bayesian Estimation for Continuous-Time Sparse Stochastic Processes

DOI10.1109/TSP.2012.2226446MaRDI QIDQ4578414zbMATH OpenOpenAlexFDO

Authors Arash A. Amini, Ulugbek Kamilov, Emrah Bostan, M. Unser

Publication date 22 August 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.5394

Mathematics Subject Classification ID

Bayesian inference (62F15) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: We consider continuous-time sparse stochastic processes from which we have only a finite number of noisy/noiseless samples. Our goal is to estimate the noiseless samples (denoising) and the signal in-between (interpolation problem). By relying on tools from the theory of splines, we derive the joint a priori distribution of the samples and show how this probability density function can be factorized. The factorization enables us to tractably implement the maximum a posteriori and minimum mean-square error (MMSE) criteria as two statistical approaches for estimating the unknowns. We compare the derived statistical methods with well-known techniques for the recovery of sparse signals, such as the $el{l}_1$ norm and Log ($el{l}_1$-$el{l}_0$ relaxation) regularization methods. The simulation results show that, under certain conditions, the performance of the regularization techniques can be very close to that of the MMSE estimator.

Cited in

(7)

• Sparse Bayesian Learning With Dynamic Filtering for Inference of Time-Varying Sparse Signals
• Sparse Bayesian representation in time-frequency domain
• Compressibility analysis of asymptotically mean stationary processes
• On the continuity of characteristic functionals and sparse stochastic modeling
• On Bayesian estimation and proximity operators
• On the estimation of a large sparse Bayesian system: the Snaer program
• Expectation propagation for continuous time stochastic processes

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