rrr.sim2: Simulation model 2

In rrpack: Reduced-Rank Regression

Simulation model 2

Description

Similar to the the SRRR simulation model in Chen and Huang (2012), JASA

Usage

rrr.sim2(
  n = 100,
  p = 50,
  p0 = 10,
  q = 50,
  q0 = 10,
  nrank = 3,
  s2n = 1,
  sigma = NULL,
  rho_X = 0.5,
  rho_E = 0
)

Arguments

n	sample size
p	number of predictors
p0	number of relevant predictors
q	number of responses
q0	number of relevant responses
nrank	model rank
s2n	signal to noise ratio
sigma	error variance. If specfied, then s2n has no effect
rho_X	correlation parameter in the generation of predictors
rho_E	correlation parameter in the generation of random errors

Value

similated model and data

References

Chen, L. and Huang, J.Z. (2012) Sparse reduced-rank regression for simultaneous dimension reduction and variable selection. Journal of the American Statistical Association, 107:500, 1533–1545.

rrpack documentation built on June 16, 2022, 9:05 a.m.