On the statistics of the error in predictive coding for stationary Ornstein-Uhlenbeck processes

Explicit expression are derived for the conditional expectation and variance of the encoder in a predictive DPCM coder with an N-level quantizer, when a stationary Ornstein-Uhlenbeck process is a source. A representation of the encoder in terms of a stochastic integral is presented. These expressions yield a nonlinear stochastic difference equation for the decoding error process and a stochastic differential equation (SDE) as a weak limit for the error process. The statistical properties of the error obtained as a solution of the limiting SDE are interpreted in terms of the slope overload error.<
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