correlated_regressors: Simulate correlated regressor values

In oeli: Utilities for Developing Data Science Software

Simulate correlated regressor values

Description

This function simulates regressor values from various marginal distributions with custom correlations.

Usage

correlated_regressors(
  labels,
  n = 100,
  marginals = list(),
  correlation = diag(length(labels)),
  verbose = FALSE
)

Arguments

labels	[character()] Unique labels for the regressors.
n	[integer(1)] The number of values per regressor.
marginals	[list()] Optionally marginal distributions for regressors. If not specified, standard normal marginal distributions are used. Each list entry must be named according to a regressor label, and the following distributions are currently supported: discrete distributions Poisson: list(type = "poisson", lambda = ...) categorical: list(type = "categorical", p = c(...)) continuous distributions normal: list(type = "normal", mean = ..., sd = ...) uniform: list(type = "uniform", min = ..., max = ...)
correlation	[matrix()] A correlation matrix of dimension length(labels), where the (p, q)-th entry defines the correlation between regressor labels[p] and labels[q].
verbose	[logical(1)] Print information about the simulated regressors?

Value

A data.frame with n rows and length(labels) columns.

References

This function heavily depends on the {SimMultiCorrData} package.

See Also

Other simulation helpers: ddirichlet_cpp(), dmvnorm_cpp(), dtnorm_cpp(), dwishart_cpp(), simulate_markov_chain()

Examples

labels <- c("P", "C", "N1", "N2", "U")
n <- 100
marginals <- list(
  "P" = list(type = "poisson", lambda = 2),
  "C" = list(type = "categorical", p = c(0.3, 0.2, 0.5)),
  "N1" = list(type = "normal", mean = -1, sd = 2),
  "U" = list(type = "uniform", min = -2, max = -1)
)
correlation <- matrix(
  c(1, -0.3, -0.1, 0, 0.5,
    -0.3, 1, 0.3, -0.5, -0.7,
    -0.1, 0.3, 1, -0.3, -0.3,
    0, -0.5, -0.3, 1, 0.1,
    0.5, -0.7, -0.3, 0.1, 1),
  nrow = 5, ncol = 5
)
data <- correlated_regressors(
  labels = labels, n = n, marginals = marginals, correlation = correlation
)
head(data)

oeli documentation built on April 3, 2025, 9:29 p.m.