High-resolution quantization and entropy coding for fractional Brownian motion

DOI10.1214/EJP.V11-344MaRDI QIDQ850423zbMATH OpenOpenAlexFDO

Authors Steffen Dereich, Michael Scheutzow

Publication date 3 November 2006

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0504480, https://eudml.org/doc/127240

Mathematics Subject Classification ID

Gaussian processes (60G15) Signal detection and filtering (aspects of stochastic processes) (60G35) Source coding (94A29)

Abstract: We derive a high-resolution formula for the quantization and entropy coding approximation quantities for fractional Brownian motion, respective to the supremum norm and L^p[0,1]-norm distortions. We show that all moments in the quantization problem lead to the same asymptotics. Using a general principle, we conclude that entropy coding and quantization coincide asymptotically. Under supremum-norm distortion, our proof uses an explicit construction of efficient codebooks based on a particular entropy constrained coding scheme. This procedure can be used to construct close to optimal high resolution quantizers.

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