lambdaCalculationHAC {tsapp}

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

Description

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

Usage

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).

Value

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.

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.