Optimality of Operator-Like Wavelets for Representing Sparse AR(1) Processes

DOI10.1109/TSP.2015.2447494zbMATH Open1394.94439arXiv1312.1147OpenAlexW1946393290MaRDI QIDQ4580797FDOQ4580797

Pedram Pad, M. Unser

Publication date: 22 August 2018

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

Abstract: It is known that the Karhunen-Lo`{e}ve transform (KLT) of Gaussian first-order auto-regressive (AR(1)) processes results in sinusoidal basis functions. The same sinusoidal bases come out of the independent-component analysis (ICA) and actually correspond to processes with completely independent samples. In this paper, we relax the Gaussian hypothesis and study how orthogonal transforms decouple symmetric-alpha-stable (S$alpha$S) AR(1) processes. The Gaussian case is not sparse and corresponds to $alpha=2$, while $0<alpha<2$ yields processes with sparse linear-prediction error. In the presence of sparsity, we show that operator-like wavelet bases do outperform the sinusoidal ones. Also, we observe that, for processes with very sparse increments ($0<alphaleq1$), the operator-like wavelet basis is indistinguishable from the ICA solution obtained through numerical optimization. We consider two criteria for independence. The first is the Kullback-Leibler divergence between the joint probability density function (pdf) of the original signal and the product of the marginals in the transformed domain. The second is a divergence between the joint pdf of the original signal and the product of the marginals in the transformed domain, which is based on Stein's formula for the mean-square estimation error in additive Gaussian noise. Our framework then offers a unified view that encompasses the discrete cosine transform (known to be asymptotically optimal for $alpha=2$) and Haar-like wavelets (for which we achieve optimality for $0<alphaleq1$).

Full work available at URL: https://arxiv.org/abs/1312.1147

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (1)

• Wavelet analysis of the Besov regularity of Lévy white noise

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