Compressed sensing deals with the reconstruction of signals

from sub-Nyquist samples by exploiting the sparsity of their

projections onto known subspaces. In contrast, the present

article is concerned with the reconstruction of second-order

statistics, such as covariance and power spectrum, even in

the absence of sparsity priors. The framework described here

leverages the statistical structure of random processes to

enable signal compression and offers an alternative perspective

at sparsity-agnostic inference. Capitalizing on parsimonious

representations, we illustrate how compression and reconstruction

tasks can be addressed in popular applications such

as power spectrum estimation, incoherent imaging, direction

of arrival estimation, frequency estimation, and wideband

spectrum sensing.

%B IEEE Signal Processing Magazine
%V 33
%P 78--93
%8 01/2016
%G eng
%N 1