An analysis of the SPARSEVA estimate for the finite sample data case

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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