[R] More clear statement about the question of how to generate regression matrix with correlation matrix

Spencer Graves spencer.graves at pdf.com
Sat Jul 12 02:52:26 CEST 2003

Dear Rui:

	  If noone else responds, I suggest you forward my earlier comments to 
Fu and ask him.

Spencer Graves

rui wrote:
> Dear R community:
> I am trying to do a simulation study mentioned by Fu (1998), 
Journal of Computational and Graphical Statistics, Volume7,
Number 3, Page 397-416. In order to give a clear statement of
quesion I copy the following paragraph from the article: We
compare the bridge model with the OLS, the lasso and the ridge
in a simulation of a linear regression model of 30 observations
and 10 regressors Y = beta0 + beta1*x1 + ... + beta10*x10 +
epsilon, where epsilon follows a normal distribution with mean
mu and standard deviation sigma. Ten regression matrices {X}m,
m=1,...,10, are generated from an orthonormal matrix X of
dimension 30*10 with different between-column pairwise
correlation coefficients {rho}m generated from uniform
distribution U(-1, 1).
> Thanks in advance.
> Rui
> 	[[alternative HTML version deleted]]
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