penaltymatrix function

Penalty matrix for L1 penalized estimation of multistate models.

This builds up a penalty matrix needed for the penalized estimation of multistate models.

penaltymatrix(lambda, PSM, beta, w, constant)

Arguments

• lambda: vector with penalty parameters for the respective penalty components.
• PSM: penalty structure matrix containing the penalty structure vectors psv as rows.
• beta: vector of regression coefficients.
• w: vector containing weights for the respective penalty components.
• constant: constat that is needed for the locally (in the neighborhood of 0) quadratical approximation of the absolute value function.

Details

This function calculates the penalty matrix needed for the penalized estimation of multistate models.

Returns

A penalty matrix plambda.

Author(s)

Holger Reulen

Examples

## Not run: penaltymatrix(lambda, PSM, beta, w, constant)