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MMSE Estimation of Sparse Lévy Processes

U.S. Kamilov, P. Pad, A. Amini, M. Unser

IEEE Transactions on Signal Processing, vol. 61, no. 1, pp. 137-147, January 1, 2013.

We investigate a stochastic signal-processing framework for signals with sparse derivatives, where the samples of a Lévy process are corrupted by noise. The proposed signal model covers the well-known Brownian motion and piecewise-constant Poisson process; moreover, the Lévy family also contains other interesting members exhibiting heavy-tail statistics that fulfill the requirements of compressibility. We characterize the maximum-a-posteriori probability (MAP) and minimum mean-square error (MMSE) estimators for such signals. Interestingly, some of the MAP estimators for the Lévy model coincide with popular signal-denoising algorithms (e.g., total-variation (TV) regularization). We propose a novel non-iterative implementation of the MMSE estimator based on the belief-propagation (BP) algorithm performed in the Fourier domain. Our algorithm takes advantage of the fact that the joint statistics of general Lévy processes are much easier to describe by their characteristic function, as the probability densities do not always admit closed-form expressions. We then use our new estimator as a benchmark to compare the performance of existing algorithms for the optimal recovery of gradient-sparse signals.

AUTHOR="Kamilov, U.S. and Pad, P. and Amini, A. and Unser, M.",
TITLE="{MMSE} Estimation of Sparse {L}{\'{e}}vy Processes",
JOURNAL="{IEEE} Transactions on Signal Processing",
month="January 1,",

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