rrr.sim2 {rrpack}

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.