R help - Jul 2003 - More clear statement about the question of how to generate regression matrix with correlation matrix

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]]

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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