Calculating new penalty parameter lambda.
new.lambda(penden.env,lambda0)Containing all information, environment of pendensity()
actual penalty parameter lambda
Returning the new 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 $$\lambda^{-1}=\frac{\hat{\beta}^T D_m \hat{\beta}}{df(\hat{\lambda})-(m-1)}.$$
Density Estimation with a Penalized Mixture Approach, Schellhase C. and Kauermann G. (2012), Computational Statistics 27 (4), p. 757-777.