Generate Simulation Data for Benchmarking Sparse Regressions (Gaussian Response)
Source:R/OHPL.sim.R
OHPL.sim.Rd
Generate simulation data (Gaussian case) following the settings in Xiao and Xu (2015).
Usage
OHPL.sim(
n = 100,
p = 100,
rho = 0.8,
coef = rep(1, 10),
snr = 3,
p.train = 0.5,
seed = 1001
)
Arguments
- n
Number of observations.
- p
Number of variables.
- rho
Correlation base for generating correlated variables.
- coef
Vector of non-zero coefficients.
- snr
Signal-to-noise ratio (SNR).
- p.train
Percentage of training set.
- seed
Random seed for reproducibility.
References
Nan Xiao and Qing-Song Xu. (2015). Multi-step adaptive elastic-net: reducing false positives in high-dimensional variable selection. Journal of Statistical Computation and Simulation 85(18), 3755--3765.
Author
Nan Xiao <https://nanx.me>