1Bayesian Estimation for Continuous-Time Sparse Stochastic Processes

Abstract—We consider continuous-time sparse stochastic pro-cesses from which we have only a finite number of noisy/noiseless samples. Our goal is to estimate the noiseless samples (denoising) and the signal in-between (interpolation problem). By relying on tools from the theory of splines, we derive the joint a priori distribution of the samples and show how this probability density function can be factorized. The factorization enables us to tractably implement the maximum a posteriori and minimum mean-square error (MMSE) criteria as two statistical approaches for estimating the unknowns. We compare the derived statistical methods with well-known techniques for the recovery of sparse signals, such as the `1 norm and Log (`1-`0 relaxation) regular-ization methods. The simulation results show that, under certain conditions, the performance of the regularization techniques can be very close to that of the MMSE estimator