Some Properties of a Recursive Procedure for High Dimensional Parameter Estimation in Linear Model with Regularization
Read full paper at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=52853#.VKs7s8nQrzE Author(s) Hong Son Hoang , Remy Baraille Affiliation(s) SHOM/HOM/REC, 42 av Gaspard Coriolis 31057 Toulouse, France . ABSTRACT Theoretical results related to properties of a regularized recursive algorithm for estimation of a high dimensional vector of parameters are presented and proved. The recursive character of the procedure is proposed to overcome the difficulties with high dimension of the observation vector in computation of a statistical regularized estimator. As to deal with high dimension of the vector of unknown parameters, the regularization is introduced by specifying a priori non-nega...