L. Blackhall and M. Rotkowitz
Recursive Sparse Estimation using a Gaussian Sum Filter
Proceedings of the IFAC World Congress, July 2008.

Abstract

We develop a recursive estimator that systematically arrives at sparse parameter estimates. The algorithm is computationally feasible for moderate parameter estimation problems and leverages the Gaussian sum filter to provide both sparse parameter estimates and credible Bayesian intervals for non-zero parameters in a recursive fashion. Simulations show extremely promising accuracy, as well as a robustness not enjoyed by other sparse estimators.