This function implements different methods for calculation of the penalization parameter λ. 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
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.