simulData: simulData

In LINselect: Selection of Linear Estimators

simulData

Description

Function to simulate data Y = X \beta + \sigma N(0, 1)

Usage

simulData(p = 100, n = 100, beta = NULL, C = NULL, r = 0.95, 
    rSN = 10)

Arguments

p	integer : number of variates. Should be >15 if beta=NULL
n	integer : number of observations
beta	vector with p components. See details.
C	matrix p x p. Covariance matrix of X. See details.
r	scalar for calculating the covariance of X when C=NULL.
rSN	scalar : ratio signal/noise

Details

When beta is NULL, then p should be greater than 15 and beta=c(rep(2.5,5),rep(1.5,5),rep(0.5,5),rep(0,p-15))

When C is NULL, then C is block diagonal with
C[a,b] = r**abs(a-b) for 1 \le a, b \le 15
C[a,b] = r**abs(a-b) for 16 \le a, b \le p

The lines of X are n i.i.d. gaussian variables with mean 0 and covariance matrix C.

The variance sigma**2 equals the squared euclidean norm of X \beta divided by rSN*n.

Value

A list with components :

Y	vector n : Y = X \beta + \sigma N(0, 1)
X	matrix n x p : values of the covariates. See details.
C	matrix p x p. See details
sigma	scalar. See details.
beta	vector with p components. See details.

Note

Library mvtnorm is loaded.

Author(s)

Yannick Baraud, Christophe Giraud, Sylvie Huet

LINselect documentation built on Aug. 30, 2023, 9:10 a.m.