Connection between SPICE and Square-Root LASSO for sparse parameter estimation

被引：31

作者：

Babu, Prabhu ^{[1
]}

Stoica, Petre ^{[2
]}

机构：

[1] HKUST, Dept Elect & Comp Engn, Hong Kong, Hong Kong, Peoples R China

[2] Uppsala Univ, Dept Informat Technol, SE-75105 Uppsala, Sweden

来源：

SIGNAL PROCESSING | 2014年 / 95卷

基金：

瑞典研究理事会; 欧洲研究理事会;

关键词：

LASSO; Square-Root LASSO; SPICE; Covariance fitting; Sparse parameter estimation;

D O I：

10.1016/j.sigpro.2013.08.011

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

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. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：10 / 14

页数：5

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