Category Archives: Sparsity

Thresholding for sparse signals. Square-Root Lasso

In this post we continue with soft thresholding. Our estimator  is an optimal solution (unique due to strong convexity) to and the observation model is      note that we included the noise variance   in .  We are interested … Continue reading

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Thresholding over the l1-ball

Since long ago I wanted to write a post with an elementary introduction to soft / hard thresholding. The time has come to pay the dues, so here we go.

Posted in Memos, Sparsity, Statistics | Leave a comment