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arXiv, 2017

DOI: 10.48550/arxiv.1703.09351

Elsevier, Automatica, (96), p. 141-149

DOI: 10.1016/j.automatica.2018.06.046

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

Journal article published in 2018 by Huong Ha, James S. Welsh ORCID, Cristian R. Rojas, Bo Wahlberg
This paper is available in a repository.
This paper is available in a repository.

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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.