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

被引：29
|
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：
欧洲研究理事会; 瑞典研究理事会;
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
收藏
页码：10 / 14
页数：5
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