hessianReg function

Hessian Matrix of Regularized Estimators

Constructing Hessian matrix for regularized regression parameters.

hessianReg(x, which, ...)

Arguments

• x: a fitted model object.
• which: which penalty parameter(s)?
• ...: arguments passed to the meatReg function.

Details

hessianReg is a function to compute the Hessian matrix estimate of non-zero regularized estimators. Implemented only for zipath object with family="negbin" in the current version.

Returns

A matrix containing the Hessian matrix estimate for the non-zero parameters.

See Also

breadReg, meatReg

References

Zhu Wang, Shuangge Ma and Ching-Yun Wang (2015) Variable selection for zero-inflated and overdispersed data with application to health care demand in Germany, Biometrical Journal. 57(5):867-84.

Author(s)

Zhu Wang zwang145@uthsc.edu

Examples

data("bioChemists", package = "pscl")
fm_zinb <- zipath(art ~ . | ., data = bioChemists, family = "negbin", nlambda=10, maxit.em=1)
hessianReg(fm_zinb, which=which.min(fm_zinb$bic))