gendata {GrFA}

Generate the grouped data.

Description

Generate the grouped data.

Usage

gendata(seed = 1, T = 50, N = rep(30, 5), r0 = 2, r = rep(2, 5),
        Phi_G = 0.5, Phi_F = 0.5, Phi_e = 0.5, W_F = 0.5, beta = 0.1,
        kappa = 1, case = 1)

Arguments

seed

the seed used in set.seed.

T

the number of time points.

N

a vector representing the number of variables in each group.

r0

the number of global factors.

r

a vector representing the number of the local factors. Notice, the length of r is the same as N.

Phi_G

hyperparameter of the global factors, default is 0.5, the value should between 0 and 1.

Phi_F

hyperparameter of the local factors, default is 0.5, the value should between 0 and 1.

Phi_e

hyperparameter of the errors, default is 0.5, the value should between 0 and 1.

W_F

hyperparameter of the correlation of local factors, only applicable in case = 3, the value should between 0 and 1.

beta

hyperparameter of the errors, default is 0.1.

kappa

hyperparameter of signal to noise ratio, default is 1.

case

the case of the data-generating process, default is 1, it can also be 2 and 3.

Value

y

a list of the data.

G

the global factors.

F

a list of the local factors.

loading_G

the global factor loadings.

loading_F

the local factor loadings.

T

the number of time points.

N

a vector representing the number of variables in each group.

M

the number of groups.

r0

the number of global factors.

r

a vector representing the number of the local factors.

case

the case of the data-generating process.

Examples

dat = gendata()
dat