Compression Limits for Random Vectors with Linearly Parameterized Second-Order Statistics

DOI10.1109/TIT.2015.2394784zbMATH Open1359.94163arXiv1311.0737OpenAlexW2043565010MaRDI QIDQ2978746FDOQ2978746

Authors: Daniel M. Romero, Roberto López-Valcarce, G. Leus 

Publication date: 28 April 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Abstract: The class of complex random vectors whose covariance matrix is linearly parameterized by a basis of Hermitian Toeplitz (HT) matrices is considered, and the maximum compression ratios that preserve all second-order information are derived --- the statistics of the uncompressed vector must be recoverable from a set of linearly compressed observations. This kind of vectors arises naturally when sampling wide-sense stationary random processes and features a number of applications in signal and array processing. Explicit guidelines to design optimal and nearly optimal schemes operating both in a periodic and non-periodic fashion are provided by considering two of the most common linear compression schemes, which we classify as dense or sparse. It is seen that the maximum compression ratios depend on the structure of the HT subspace containing the covariance matrix of the uncompressed observations. Compression patterns attaining these maximum ratios are found for the case without structure as well as for the cases with circulant or banded structure. Universal samplers are also proposed to compress unknown HT subspaces.

Full work available at URL: https://arxiv.org/abs/1311.0737

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Order statistics; empirical distribution functions (62G30)

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