pendensity (version 0.2.5)

new.lambda: Calculating new penalty parameter lambda

Description

Calculating new penalty parameter lambda.

Usage

new.lambda(penden.env,lambda0)

Arguments

penden.env

Containing all information, environment of pendensity()

lambda0

actual penalty parameter lambda

Value

• Returning the new lambda.

Details

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 $$\lambda^{-1}=\frac{\hat{\beta}^T D_m \hat{\beta}}{df(\hat{\lambda})-(m-1)}.$$

References

Density Estimation with a Penalized Mixture Approach, Schellhase C. and Kauermann G. (2012), Computational Statistics 27 (4), p. 757-777.