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Encouraged by the promising application of compressed sensing in signal compression, we investigate its formulation and application in the context of speech coding based on sparse linear prediction. In particular, a compressed sensing method can be devised to compute a sparse approximation of speech in the residual domain when sparse linear prediction is involved. We compare the method of computing a sparse prediction residual with the optimal technique based on an exhaustive search of the possible nonzero locations and the well known Multi-Pulse Excitation, the first encoding technique to introduce the sparsity concept in speech coding. Experimental results demonstrate the potential of compressed sensing in speech coding techniques, offering high perceptual quality with a very sparse approximated prediction residual.