TRES (version 0.1.0)

MenvU_sim: Generate sample estimator of M and U

Description

This function is to generate sample estimator of M and U, which are the matrices in M-envelope of U.

Usage

MenvU_sim(n, p, u, Omega=NULL, Omega0=NULL, Phi=NULL)

Arguments

n

Sample size.

p

Dimension of M.

u

Envelope Dimension.

Omega

The positive definite matrix \(\Omega\) in \(M=\Gamma^T\Omega\Gamma+\Gamma_0^T\Omega_0\Gamma_0^T\). The defalut is generated by \(\Omega=AA^T\) with the elements in \(A\) is generated from a standard uniform distribution.

Omega0

The positive definite matrix \(\Omega_0\) in \(M=\Gamma^T\Omega\Gamma+\Gamma_0^T\Omega_0\Gamma_0^T\). The defalut is generated by \(\Omega=AA^T\) with the elements in \(A\) is generated from a standard uniform distribution.

Phi

The positive definite matrix \(\Phi\) in \(U=\Gamma^T\Phi\Gamma\). The defalut is generated by \(\Omega=AA^T\) with the elements in \(A\) is generated from a standard uniform distribution.

Value

Mhat

Sample estimator of M.

Uhat

Sample estimator of U.

Gamma

Matrix \(\Gamma\) in generating M and U.

Examples

# NOT RUN {
data <- MenvU_sim(n=200, p=20, u=5, Omega=NULL, Omega0=NULL, Phi=NULL)
Mhat <- data$Mhat
Uhat <- data$Uhat
# }