As an example of the recently-introduced concept of rate of innovation,
signals that are linear combinations of a finite number of Diracs per unit time
can be acquired by linear filtering followed by uniform sampling. However, in
reality, samples are rarely noiseless. In this paper, we introduce a novel
stochastic algorithm to reconstruct a signal with finite rate of innovation
from its noisy samples. Even though variants of this problem has been
approached previously, satisfactory solutions are only available for certain
classes of sampling kernels, for example kernels which satisfy the Strang-Fix
condition. In this paper, we consider the infinite-support Gaussian kernel,
which does not satisfy the Strang-Fix condition. Other classes of kernels can
be employed. Our algorithm is based on Gibbs sampling, a Markov chain Monte
Carlo (MCMC) method. Extensive numerical simulations demonstrate the accuracy
and robustness of our algorithm.Comment: Submitted to IEEE Transactions on Signal Processin