lambdaCalculationHAC function

lambdaCalculationHAC is an auxiliary function for rlassoHAC; it calculates the penalty parameters.

Source

Victor Chernozhukov, Chris Hansen, Martin Spindler (2016). hdm: High-Dimensional Metrics, R Journal, 8(2), 185-199. URL https://journal.r-project.org/archive/2016/RJ-2016-040/index.html.

lambdaCalculationHAC(
  X.dependent.lambda = FALSE,
  c = 2,
  gamma = 0.1,
  kernel,
  bands,
  bns,
  lns,
  nboot,
  y = NULL,
  x = NULL
)

Arguments

• X.dependent.lambda: Logical, TRUE, if the penalization parameter depends on the design of the matrix x. FALSE, if independent of the design matrix (default).
• c: Constant for the penalty with default c = 2 .
• gamma: Constant for the penalty with default gamma=0.1.
• kernel: String kernel function, choose between "Truncated", "Bartlett", "Parzen", "Tukey-Hanning", "Quadratic Spectral".
• bands: Constant bandwidth parameter.
• bns: Block length.
• lns: Number of blocks.
• nboot: Number of bootstrap iterations.
• y: Residual which is used for calculation of the variance or the data-dependent loadings.
• x: Regressors (vector, matrix or object can be coerced to matrix).

Returns

• lambda0: Penalty term

• Ups0: Penalty loadings, vector of length p (no. of regressors)

• lambda: This is lambda0 * Ups0

• penalty: Summary of the used penalty function.