BinaryEMVS (version 0.1)

data.sim: High Dimensional Correlated Data Generation

Description

Generates an high dimensional dataset with a subset of columns being related to the response, while controlling the maximum correlation between related and unrelated variables.

Usage

data.sim(n = 100, p = 1000, pr = 3, cor = 0.6)

Arguments

n

sample size

p

total number of variables

pr

the number of variables related to the response

cor

the maximum correlation between related and unrelated variables

Value

Returns an nxp matrix with the first pr columns having maximum correlation cor with the remaining p-pr columns

Examples

data=data.sim(n=100,p=1000,pr=10,cor=.6)
max(abs(cor(data))[abs(cor(data))<1])