- Title
- An analysis of the SPARSEVA estimate for the finite sample data case
- Creator
- Ha, Huong; Welsh, James S.; Rojas, Cristian R.; Wahlberg, Bo
- Relation
- Automatica Vol. 96, p. 141-149
- Publisher Link
- http://dx.doi.org/10.1016/j.automatica.2018.06.046
- Publisher
- Elsevier
- Resource Type
- journal article
- Date
- 2018
- Description
- In this paper, we develop an upper bound for the SPARSEVA (SPARSe Estimation based on a VAlidation criterion) estimation error in a general scheme, i.e., when the cost function is strongly convex and the regularized norm is decomposable for a pair of subspaces. We show how this general bound can be applied to a sparse regression problem to obtain an upper bound of the estimation error for the traditional l1 SPARSEVA problem. Numerical results are used to illustrate the effectiveness of the suggested bound.
- Subject
- SPARSEVA estimate; estimation error; upper bound; finite sample data
- Identifier
- http://hdl.handle.net/1959.13/1447449
- Identifier
- uon:43149
- Identifier
- ISSN:0005-1098
- Language
- eng
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