An analysis of the SPARSEVA estimate for the finite sample data case
Statistics Theory
2018-07-23 v3 Statistics Theory
Abstract
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 for the traditional SPARSEVA problem. Numerical results are used to illustrate the effectiveness of the suggested bound.
Cite
@article{arxiv.1703.09351,
title = {An analysis of the SPARSEVA estimate for the finite sample data case},
author = {Huong Ha and James S. Welsh and Cristian R. Rojas and Bo Wahlberg},
journal= {arXiv preprint arXiv:1703.09351},
year = {2018}
}