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The Dispersion of the Gauss–Markov Source.
- Source :
-
IEEE Transactions on Information Theory . Oct2019, Vol. 65 Issue 10, p6355-6384. 30p. - Publication Year :
- 2019
-
Abstract
- The Gauss–Markov source produces $U_{i} = aU_{i-1} + Z_{i}$ for $i\geq 1$ , where $U_{0} = 0$ , $|a|< 1$ and $Z_{i}\sim \mathcal {N}(0, \sigma ^{2})$ are i.i.d. Gaussian random variables. We consider lossy compression of a block of $n$ samples of the Gauss–Markov source under squared error distortion. We obtain the Gaussian approximation for the Gauss–Markov source with excess-distortion criterion for any distortion $d>0$ , and we show that the dispersion has a reverse waterfilling representation. This is the first finite blocklength result for lossy compression of sources with memory. We prove that the finite blocklength rate-distortion function $R(n,d,\epsilon)$ approaches the rate-distortion function $\mathbb {R}(d)$ as $R(n,d,\epsilon) = \mathbb {R}(d) + \sqrt {\frac {V(d)}{n}}Q^{-1}(\epsilon) + o\left ({\frac {1}{\sqrt {n}}}\right)$ , where $V(d)$ is the dispersion, $\epsilon \in (0,1)$ is the excess-distortion probability, and $Q^{-1}$ is the inverse $Q$ -function. We give a reverse waterfilling integral representation for the dispersion $V(d)$ , which parallels that of the rate-distortion functions for Gaussian processes. Remarkably, for all $0 < d\leq \frac {\sigma ^{2}}{(1+|a|)^{2}}$ , $R(n,d,\epsilon)$ of the Gauss–Markov source coincides with that of $Z_{i}$ , the i.i.d. Gaussian noise driving the process, up to the second-order term. Among novel technical tools developed in this paper is a sharp approximation of the eigenvalues of the covariance matrix of $n$ samples of the Gauss–Markov source, and a construction of a typical set using the maximum likelihood estimate of the parameter $a$ based on $n$ observations. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00189448
- Volume :
- 65
- Issue :
- 10
- Database :
- Academic Search Index
- Journal :
- IEEE Transactions on Information Theory
- Publication Type :
- Academic Journal
- Accession number :
- 138733202
- Full Text :
- https://doi.org/10.1109/TIT.2019.2919718