Description Usage Arguments Value Source
lambdaCalculationLoad
is an auxiliary function for rlassoLoad; it calculates the penalty parameters
with predefined loadings.
1 2 3 4 5 6 7 8 9 10 11 |
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. |
load |
Penalty loadings, vector of length p (no. of regressors). |
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 penalty. |
x |
Regressors (vector, matrix or object can be coerced to matrix). |
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 |
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.
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