Online Group-Sparse Regression Using the Covariance Fitting Criterion
In this paper, we present a time-recursive implementation of a recent hyperparameter-free group-sparse estimation technique. This is achieved byr eformulating the original method, termed group-SPICE, as a square-root group-LASSO with a suitable regularization level, for which a time-recursive implementation is derived. Using a proximal gradient step for lowering the computational cost, the propose