High resolution quantization and entropy coding of jump processes

DOI10.1016/J.JCO.2008.10.002MaRDI QIDQ1023401zbMATH OpenOpenAlexFDO

Authors Frank Aurzada, Steffen Dereich, Christian Vormoor, Michael Scheutzow

Publication date 11 June 2009

Published in Journal of Complexity (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0712.0964

zbMATH Keywords

complexitycompound Poisson processentropy codinghigh resolution quantizationjump processLévy processmetric entropy

Mathematics Subject Classification ID

Source coding (94A29)

Abstract: We study the quantization problem for certain types of jump processes. The probabilities for the number of jumps are assumed to be bounded by Poisson weights. Otherwise, jump positions and increments can be rather generally distributed and correlated. We show in particular that in many cases entropy coding error and quantization error have distinct rates. Finally, we investigate the quantization problem for the special case of $mathbb{R}^d$-valued compound Poisson processes.

Review text

The authors study the quantization and entropy coding problem for certain types of jump processes. The analysis of the quantization and entropy coding error started in the 1940s. At that time, research was mainly focused on finite-dimensional signals; a mathematical account of these results is provided in: \textit{S. Graf} and \textit{H. Luschgy}: Foundations of Quantization for Probability Distributions, Lecture Notes in Mathematics, Vol. 1730, Springer, Berlin, Germany 2000. Since about 2000, research goes to infinite-dimensional signals. In the present paper the results are shown to be sharp in several cases. In contrast to the infinite-dimensional settings studied before, there is a qualitative difference in the approximation error introduced by the two complexity constraints.

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Cited in

(7)

• The coding complexity of Lévy processes
• How complex is a random picture?
• Differential pulse-code modulation (PCM) with entropy coding
• High resolution coding of point processes and the Boolean model.
• A constructive sharp approach to functional quantization of stochastic processes
• High-resolution quantization and entropy coding for fractional Brownian motion
• The coding complexity of diffusion processes under \(L^p[0,1]\)-norm distortion

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