Fast communication: Connection between SPICE and Square-Root LASSO for sparse parameter estimation

Authors:
Prabhu Babu;Petre Stoica
Affiliations:
-;-
Venue:
Signal Processing
Year:
2014

Citing 2
Cited 0

SPICE and LIKES: Two hyperparameter-free methods for sparse-parameter estimation

Signal Processing
New Method of Sparse Parameter Estimation in Separable Models and Its Use for Spectral Analysis of Irregularly Sampled Data

IEEE Transactions on Signal Processing

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Abstract

In this note we show that the sparse estimation technique named Square-Root LASSO (SR-LASSO) is connected to a previously introduced method named SPICE. More concretely we prove that the SR-LASSO with a unit weighting factor is identical to SPICE. Furthermore we show via numerical simulations that the performance of the SR-LASSO changes insignificantly when the weighting factor is varied. SPICE stands for sparse iterative covariance-based estimation and LASSO for least absolute shrinkage and selection operator.