# NOT RUN {
## The function is intended for large n and p.
## Use small p here for illustration purpose only.
n <- 100
p <- 10
s0 <- 3
set <- 1:s0
Sigma <- matrix(NA, p, p)
for (i in 1:p) Sigma[i,] <- 0.9^(abs(i-(1:p)))
X <- matrix(rnorm(n*p), n, p)
X <- t(t(chol(Sigma))%*%t(X))
beta <- rep(0,p)
beta[1:s0] <- runif(s0,1,2)
Y <- X%*%beta+rt(n,4)/sqrt(2)
Step(X, Y, M=500, alpha=0.05)
# }
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