A Note on the SPICE Method
Machine Learning
2015-06-11 v1 Systems and Control
Abstract
In this article, we analyze the SPICE method developed in [1], and establish its connections with other standard sparse estimation methods such as the Lasso and the LAD-Lasso. This result positions SPICE as a computationally efficient technique for the calculation of Lasso-type estimators. Conversely, this connection is very useful for establishing the asymptotic properties of SPICE under several problem scenarios and for suggesting suitable modifications in cases where the naive version of SPICE would not work.
Keywords
Cite
@article{arxiv.1209.4887,
title = {A Note on the SPICE Method},
author = {Cristian R. Rojas and Dimitrios Katselis and Håkan Hjalmarsson},
journal= {arXiv preprint arXiv:1209.4887},
year = {2015}
}
Comments
5 pages, 1 figure. Submitted to the IEEE Transactions on Signal Processing