Bayesian Sparse Estimation Using Double Lomax Priors

Figure 8

Comparison of DL, ARD, and hybrid for AR(5), AR(10), and AR(15). Left: coefficient estimation error with error bars (one standard deviation). Center: prediction MSE. Right: the number of iterative step required for convergence.

(a) AR(5): Actual coefficients [1.31, −1.53, 1.53, −1.23, 0.86]

(b) AR(10): Actual coefficients [1.65, −2.59, 2.94, −3.78, 3.53, −3.26, 2.15, −1.61, 0.88, −0.47]

(c) AR(15): Actual coefficients [1.82, −2.61, 3.04, −3.02, 3.33, −3.42, 3.55, −3.45, 2.95, −2.28, 1.59, −1.05, 0.63, −0.32, 0.09]