Information rates of sampled Wiener processes
Alon Kipnis, Yonina C. Eldar, Andrea J. Goldsmith · 2016
The minimal distortion attainable in recovering the waveform of a continuous-time Wiener process from an encoded version of its uniform samples is considered. We first introduce a combined sampling and source coding problem and prove an associated source coding theorem. We then derive an upper bound on the minimal distortion attainable under any sampling rate and a prescribed number of bits to encode the samples. We show that this bound is accurate to within a second order term in the sampling rate, and converges to the true distortion-rate function of the Wiener process as the sampling rate goes to infinity. For example, this bound implies that by providing a single bit per sample it is possible to achieve the optimal distortion-rate performance of the Wiener process, given by its distortion-rate function, to within a factor of 1.5. We conclude the distortion-rate function of the Wiener process is strictly smaller than the indirect distortion-rate function from its uniform samples obtained at any finite sampling rate. This is in contrast to stationary infinite bandwidth processes.