Publication

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

Michaël Unser, Pedram Pad
2013
Journal paper
Abstract

Sinusoidal transforms such as the DCT are known to be optimal—that is, asymptotically equivalent to the Karhunen-Loève transform (KLT)—for the representation of Gaussian stationary processes, including the classical AR(1) processes. While the KLT remains applicable for non-Gaussian signals, it loses optimality and, is outperformed by the independent-component analysis (ICA), which aims at producing the most-decoupled representation. In this paper, we consider an extension of the classical AR(1) model that is driven by symmetric-alpha-stable (SαS) noise which is either Gaussian (α = 2) or sparse (0 < α < 2). For the sparse (non-Gaussian) regime, we prove that an expansion in a proper wavelet basis (including the Haar transform) is much closer to the optimal orthogonal ICA solution than the classical Fourier-type representations. Our criterion for optimality, which favors independence, is the Kullback-Leibler divergence between the joint pdf of the original signal and the product of the marginals in the transformed domain. We also observe that, for very sparse AR(1) processes (α ≤ 1), the operator-like wavelet transform is indistinguishable from the ICA solution that is determined through numerical optimization.

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