new.lambda {pendensity} | R Documentation |
Calculating new penalty parameter lambda.
new.lambda(penden.env,lambda0)
penden.env |
Containing all information, environment of pendensity() |
lambda0 |
actual penalty parameter lambda |
Iterating for the lambda is stopped, when the changes between the old and the new lambda is smaller than 0.01*lambda0. If this criterion isn't reached, the iteration is terminated after 11 iterations.
The iteration formulae is
λ=(β^T D_m β)/(df(λ)-(m-1)
Returning the new lambda.
Christian Schellhase <cschellhase@wiwi.uni-bielefeld.de>
Penalized Density Estimation, Kauermann G. and Schellhase C. (2009), to appear.