Compute adaptive penalty weights from C1F variable contributions

For mode = "c1f", the regularised covariance matrix is decomposed into original-coordinate C1F contributions. Variables with larger contribution receive smaller soft-threshold weights, matching the direction of the historical C1F weighting rule while avoiding the invalid mapping of eigenvalue indices directly to predictor indices. inverse_c1f reverses that weighting. uniform returns equal weights.

Usage

compute_penalty_weights(
  Sigma,
  mode = c("c1f", "inverse_c1f", "uniform"),
  tol = 1e-10
)

Arguments

Sigma

Regularised covariance matrix.

mode

One of "c1f", "inverse_c1f", or "uniform".

tol

Numerical tolerance.

Value

Numeric vector of variable-level penalty weights with mean one.