Connection between SPICE and Square-Root LASSO for sparse parameter estimation
2014 (English)In: Signal Processing, ISSN 0165-1684, E-ISSN 1872-7557, Vol. 95, 10-14 p.Article in journal (Refereed) Published
In this note we show that the sparse estimation technique named Square-Root LASSO (SR-LASSO) is connected to a previously introduced method named SPICE. More concretely we prove that the SR-LASSO with a unit weighting factor is identical to SPICE. Furthermore we show via numerical simulations that the performance of the SR-LASSO changes insignificantly when the weighting factor is varied. SPICE stands for sparse iterative covariance-based estimation and LASSO for least absolute shrinkage and selection operator.
Place, publisher, year, edition, pages
2014. Vol. 95, 10-14 p.
LASSO, Square-Root LASSO, SPICE, Covariance fitting, Sparse parameter estimation
Research subject Signal Processing
IdentifiersURN: urn:nbn:se:uu:diva-209143DOI: 10.1016/j.sigpro.2013.08.011ISI: 000326912000002OAI: oai:DiVA.org:uu-209143DiVA: diva2:656119
FunderSwedish Research CouncilEU, European Research Council