rrr.sim1 {rrpack}

Simulation model 1

Description

Similar to the the RSSVD simulation model in Chen, Chan, Stenseth (2012), JRSSB.

Usage

rrr.sim1(
  n = 50,
  p = 25,
  q = 25,
  nrank = 3,
  s2n = 1,
  sigma = NULL,
  rho_X = 0.5,
  rho_E = 0
)

Arguments

n, p, q

model dimensions

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, K., Chan, K.-S. and Stenseth, N. C. (2012) Reduced rank stochastic regression with a sparse singular value decomposition. Journal of the Royal Statistical Society: Series B, 74, 203–221.