A list with components:
Mu Means of the mixture components.
Sig Covariances of the mixture components.
data Simulated data, a n by p matrix.
S Component assignments, a vector of length n.
Details
This function generates n.comp mean vectors from a standard Gaussian and
n.comp covariance matrices, with at most (1-sparsity)*p(p-1)/2
non-zero off-diagonal entries, where the non-zero entries are sampled from a
beta distribution. Then it uses sim_mix to simulate from a
mixture model with these means and covariance matrices.
Means Mu and covariance matrices Sig can also be supplied by the user.