Efficient block and time-recursive estimation of sparse Volterra systems


We investigate the application of non-convex penalized least squares for parameter estimation in the Volterra model. Sparsity is promoted by introducing a weighted &#x2113;<sub>q</sub> penalty on the parameters and efficient batch and time recursive algorithms are devised based on the cyclic coordinate descent approach. Numerical examples illustrate the… (More)
DOI: 10.1109/SSP.2012.6319651


2 Figures and Tables