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
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