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

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

lambdaCalculation(
  penalty = list(homoscedastic = FALSE, X.dependent.lambda = FALSE, lambda.start =
    NULL, c = 1.1, gamma = 0.1),
  y = NULL,
  x = NULL
)

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 λ
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

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.