lambdaCalculation: Function for Calculation of the penalty parameter
In hdm: High-Dimensional Metrics

lambdaCalculation

R Documentation

Function for Calculation of the penalty parameter

Description

This function implements different methods for calculation of the penalization parameter \lambda. Further details can be found under rlasso.

Usage

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 \lambda
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

Value

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.