The Dispersion of the Gauss–Markov Source.

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]