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

• 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.

Ämnesord

TEKNIK OCH TEKNOLOGIER  -- Elektroteknik och elektronik -- Signalbehandling (hsv//swe)

ENGINEERING AND TECHNOLOGY  -- Electrical Engineering, Electronic Engineering, Information Engineering -- Signal Processing (hsv//eng)

Nyckelord

LASSO

Square-Root LASSO

SPICE

Covariance fitting

Sparse parameter estimation

Signal Processing

Signalbehandling

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