A method for approximating a plurality of digital signals or images using compressed sensing. In a scheme where a common component xc of said plurality of digital signals or images an innovative component xi of each of said plurality of digital signals each are represented as a vector with m entries, the method comprises the steps of making a measurement yc, where yc comprises a vector with only ni entries, where ni is less than m, making a measurement yi for each of said correlated digital signals, where yi comprises a vector with only ni entries, where ni is less than m, and from each said innovation components yi, producing an approximate reconstruction of each m-vector xi using said common component yc and said innovative component yi.