band_weight function

Create the penalty matrix

band_weight(w, diff)

Arguments

• w: Vector of weights
• diff: Order of the differences to be applied to the parameters. Must be a strictly positive integer

Returns

Weighted penalty matrix $D^T diag(w) D$ where D <- diff(diag(length(w) + diff), differences = diff). Only the non-null superdiagonals of the weight matrix are returned, each column corresponding to a diagonal.