make_sparse_model {natural} | R Documentation |
Generate design matrix and response following linear models
y = X \beta + \epsilon
, where
\epsilon ~ N(0, \sigma^2)
, and X ~ N(0, \Sigma)
.
make_sparse_model(n, p, alpha, rho, snr, nsim)
n |
the sample size |
p |
the number of features |
alpha |
sparsity, i.e., |
rho |
pairwise correlation among features |
snr |
signal to noise ratio, defined as |
nsim |
the number of simulations |
A list object containing:
x
: The n
by p
design matrix
y
: The n
by nsim
matrix of response vector, each column representing one replication of the simulation
beta
: The true regression coefficient vector
sigma
: The true error standard deviation