A Note on Rate-Distortion Functions for Nonstationary Gaussian Autoregressive Processes

DOI10.1109/TIT.2007.915713MaRDI QIDQ3604568zbMATHOpenAlexFDO

Authors Takeshi Hashimoto, Robert M. Gray

Publication date 24 February 2009

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

Full work available at URL https://arxiv.org/abs/cs/0702150

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Coding theorems (Shannon theory) (94A24) Source coding (94A29)

Abstract: Source coding theorems and Shannon rate-distortion functions were studied for the discrete-time Wiener process by Berger and generalized to nonstationary Gaussian autoregressive processes by Gray and by Hashimoto and Arimoto. Hashimoto and Arimoto provided an example apparently contradicting the methods used in Gray, implied that Gray's rate-distortion evaluation was not correct in the nonstationary case, and derived a new formula that agreed with previous results for the stationary case and held in the nonstationary case. In this correspondence it is shown that the rate-distortion formulas of Gray and Hashimoto and Arimoto are in fact consistent and that the example of of Hashimoto and Arimoto does not form a counter example to the methods or results of the earlier paper. Their results do provide an alternative, but equivalent, formula for the rate-distortion function in the nonstationary case and they provide a concrete example that the classic Kolmogorov formula differs from the autoregressive formula when the autoregressive source is not stationary. Some observations are offered on the different versions of the Toeplitz asymptotic eigenvalue distribution theorem used in the two papers to emphasize how a slight modification of the classic theorem avoids the problems with certain singularities.

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