Some Properties of a Recursive Procedure for High Dimensional Parameter Estimation in Linear Model with Regularization

Abstract

Theoretical results related to properties of a regularized recursive algorithm for estimation of a high dimensional vector of parameters are presented and proved. The recursive character of the procedure is proposed to overcome the difficulties with high dimension of the observation vector in computation of a statistical regularized estimator. As to deal with high dimension of the vector of unknown parameters, the regularization is introduced by specifying a priori non-negative covariance structure for the vector of estimated parameters. Numerical example with Monte-Carlo simulation for a low-dimensional system as well as the state/parameter estimation in a very high dimensional oceanic model is presented to demonstrate the efficiency of the proposed approach.