It is an equiprobable two class problem, Y belongs to {-1,1}, with six
true variables, the others being some noise.
The simulation model is defined through the conditional distribution
of the Xi for Y=y:with probability 0.7, X^j ~ N(yj,1) for j=1,2,3 and
X^j ~ N(0,1) for j=4,5,6 ;
with probability 0.3, X^j ~ N(0,1) for j=1,2,3 and
X^j ~ N(y(j-3),1) for j=4,5,6 ;
the other variables are noise, X^j ~ N(0,1)
for j=7,...,p.
After simulation, the obtained variables are finally standardized.