A Note on the SPICE Method
This work provides incremental insights for researchers in sparse estimation by linking SPICE to established methods.
The authors analyzed the SPICE method, showing its connections to Lasso and LAD-Lasso, which positions it as a computationally efficient technique for calculating Lasso-type estimators and aids in establishing its asymptotic properties.
In this article, we analyze the SPICE method developed in [1], and establish its connections with other standard sparse estimation methods such as the Lasso and the LAD-Lasso. This result positions SPICE as a computationally efficient technique for the calculation of Lasso-type estimators. Conversely, this connection is very useful for establishing the asymptotic properties of SPICE under several problem scenarios and for suggesting suitable modifications in cases where the naive version of SPICE would not work.