factor.model.design: Generate factor model design matrix.
Description
This function enables a quick generation of random design matrices (see details).
Usage
factor.model.design(n, p, n.factors, sigma = 1)
Arguments
n
Number of independent realisations of the factor model.
n.factors
Number of factors.
sigma
Standard deviation for the normal distribution (see details).
Value
n by p matrix with independent rows following factor model (see details).
Details
The elements of the matrix returned by this routine satisfy $X_{ij} = \sum_{l=1}^{K} f_{ijl} \varphi_{il} + \theta_{ij}$
with $f_{ijl}$, $\varphi_{il}$, $\theta_{ij}$, $\varepsilon_{i}$ i.i.d. $\mathcal{N}(0,(sigma)^2)$.