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On the Continuity of Characteristic Functionals and Sparse Stochastic Modeling

J. Fageot, A. Amini, M. Unser

The Journal of Fourier Analysis and Applications, vol. 20, no. 6, pp. 1179-1211, December 2014.

The characteristic functional is the infinite-dimensional generalization of the Fourier transform for measures on function spaces. It characterizes the statistical law of the associated stochastic process in the same way as a characteristic function specifies the probability distribution of its corresponding random variable. Our goal in this work is to lay the foundations of the innovation model, a (possibly) non-Gaussian probabilistic model for sparse signals. This is achieved by using the characteristic functional to specify sparse stochastic processes that are defined as linear transformations of general continuous-domain white Lévy noises (also called innovation processes). We prove the existence of a broad class of sparse processes by using the Minlos-Bochner theorem. This requires a careful study of the regularity properties, especially the Lp-boundedness, of the characteristic functional of the innovations. We are especially interested in the functionals that are only defined for p < 1 since they appear to be associated with the sparser kind of processes. Finally, we apply our main theorem of existence to two specific subclasses of processes with specific invariance properties.

AUTHOR="Fageot, J. and Amini, A. and Unser, M.",
TITLE="On the Continuity of Characteristic Functionals and Sparse
        Stochastic Modeling",
JOURNAL="The Journal of {F}ourier Analysis and Applications",

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