lambdaCalculation function

Function for Calculation of the penalty parameter

Function for Calculation of the penalty parameter

This function implements different methods for calculation of the penalization parameter λ\lambda. Further details can be found under rlasso .

lambdaCalculation( penalty = list(homoscedastic = FALSE, X.dependent.lambda = FALSE, lambda.start = NULL, c = 1.1, gamma = 0.1), y = NULL, x = NULL )

Arguments

  • penalty: list with options for the calculation of the penalty.

    • c and gamma constants for the penalty with default c=1.1 and gamma=0.1
    • homoscedastic logical, if homoscedastic errors are considered (default FALSE). Option none is described below.
    • X.dependent.lambda if independent or dependent design matrix X is assumed for calculation of the parameter λ\lambda
    • numSim number of simulations for the X-dependent methods
    • lambda.start initial penalization value, compulsory for method "none"
  • y: residual which is used for calculation of the variance or the data-dependent loadings

  • x: matrix of regressor variables

Returns

The functions returns a list with the penalty lambda which is the product of lambda0 and Ups0. Ups0

denotes either the variance (independent case) or the data-dependent loadings for the regressors. method gives the selected method for the calculation.

  • Maintainer: Martin Spindler
  • License: MIT + file LICENSE
  • Last published: 2024-02-14

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