Tracking an Auto-Regressive Process with Limited Communication per Unit Time

Abstract

Samples from a high-dimensional first-order auto-regressive process generated by an independently and identically distributed random innovation sequence are observed by a sender which can communicate only finitely many bits per unit time to a receiver. The receiver seeks to form an estimate of the process value at every time instant in real-time. We consider a time-slotted communication model in a slow-sampling regime where multiple communication slots occur between two sampling instants. We propose a successive update scheme which uses communication between sampling instants to refine estimates of the latest sample and study the following question: Is it better to collect communication of multiple slots to send better refined estimates, making the receiver wait more for every refinement, or to be fast but loose and send new information in every communication opportunity? We show that the fast but loose successive update scheme with ideal spherical codes is universally optimal asymptotically for a large dimension. However, most practical quantization codes for fixed dimensions do not meet the ideal performance required for this optimality, and they typically will have a bias in the form of a fixed additive error. Interestingly, our analysis shows that the fast but loose scheme is not an optimal choice in the presence of such errors, and a judiciously chosen frequency of updates outperforms it.

Mildly Explosive Autoregression with Strong Mixing Errors

“…The -mixing sequence is a weakly dependent sequence and several linear and nonlinear time series models satisfy the mixing properties. For more works on -mixing and applications of regression, we refer the reader to Hall and Heyde [ 13 ], Györfi et al [ 14 ], Lin and Lu [ 15 ], Fan and Yao [ 16 ], Jinan et al [ 17 ], Escudero et al [ 18 ], Li et al [ 19 ], and the references therein. Many researchers have studied mildly explosive models.…”