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Optimization viewpoint on Kalman smoothing, with applications to robust and sparse estimation
Optimization viewpoint Kalman smoothing applications robust sparse estimation
2013/4/28
In this paper, we present the optimization formulation of the Kalman filtering and smoothing problems, and use this perspective to develop a variety of extensions and applications. We first formulate ...
Model-Consistent Sparse Estimation through the Bootstrap
Model-Consistent Sparse Estimation Bootstrap
2010/3/17
We consider the least-square linear regression problem with regularization by the
ℓ1-norm, a problem usually referred to as the Lasso. In this paper, we first present
a detailed asymptotic ana...