Information rates of sampled Wiener processes

Alon Kipnis, Yonina C. Eldar, Andrea J. Goldsmith

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Scopus citations


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.

Original languageEnglish (US)
Title of host publicationProceedings - ISIT 2016; 2016 IEEE International Symposium on Information Theory
PublisherInstitute of Electrical and Electronics Engineers Inc.
Number of pages5
ISBN (Electronic)9781509018062
StatePublished - Aug 10 2016
Event2016 IEEE International Symposium on Information Theory, ISIT 2016 - Barcelona, Spain
Duration: Jul 10 2016Jul 15 2016

Publication series

NameIEEE International Symposium on Information Theory - Proceedings
ISSN (Print)2157-8095


Other2016 IEEE International Symposium on Information Theory, ISIT 2016

All Science Journal Classification (ASJC) codes

  • Theoretical Computer Science
  • Information Systems
  • Modeling and Simulation
  • Applied Mathematics


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