Linear Regression With a Sparse Parameter Vector

  • Authors:
  • Erik Larsson;Yngve Selen

  • Affiliations:
  • Sch. of Electr. Eng., R. Inst. of Technol., Stockholm;-

  • Venue:
  • IEEE Transactions on Signal Processing
  • Year:
  • 2007

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Abstract

We consider linear regression under a model where the parameter vector is known to be sparse. Using a Bayesian framework, we derive the minimum mean-square error (MMSE) estimate of the parameter vector and a computationally efficient approximation of it. We also derive an empirical-Bayesian version of the estimator, which does not need any a priori information, nor does it need the selection of any user parameters. As a byproduct, we obtain a powerful model ("basis") selection tool for sparse models. The performance and robustness of our new estimators are illustrated via numerical examples