Abstract
This note studies a method for the efficient estimation of a finite number of unknown parameters from linear equations, which are perturbed by Gaussian noise. In case the unknown parameters have only few nonzero entries, the proposed estimator performs more efficiently than a traditional approach. The method consists of three steps: (1) a classical Least Squares Estimate (LSE), (2) the support is recovered through a Linear Programming (LP) optimization problem which can be computed using a soft-thresholding step, (3) a de-biasing step using a LSE on the estimated support set. The main contribution of this note is a formal derivation of an associated ORACLE property of the final estimate. That is, when the number of samples is large enough, the estimate is shown to equal the LSE based on the support of the {\em true} parameters.
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