High Resolution Quantization and Entropy Coding for Fractional Brownian Motion

Steffen Dereich (TU Berlin)
Michael Scheutzow (TU Berlin)

Abstract


We establish the precise asymptotics of the quantization and entropy coding errors for fractional Brownian motion with respect to the supremum norm and $L^p [0,1]$-norm distortions. We show that all moments in the quantization problem lead to the same asymptotics. Using a general principle, we conclude that entropy coding and quantization coincide asymptotically. Under supremum-norm distortion, our proof uses an explicit construction of efficient codebooks based on a particular entropy constrained coding scheme.

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Pages: 700-722

Publication Date: August 27, 2006

DOI: 10.1214/EJP.v11-344

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