Penalty Parameter Selector

Share:

Description

Data-driven selector of the penalty parameter, given a bandwidth.

Usage

1
lambda(x, y, h, d, xgrid, A, B, niterations=2) 

Arguments

x

numeric vector of predictor observations

y

numeric vector of observed responses

h

numeric bandwidth

d

numeric degree of local polynomial regression

xgrid

numeric vector of grid points where regression function is to be evaluated

A

numeric matrix, Smoother matrix

B

numeric matrix, based on penalty

niterations

number of iterations

Value

a numeric vector of smoothing parameters, corresponding to successive iterates

Author(s)

W.J. Braun