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- N <- 1000
- P <- 100
- Sigma = diag(sample(1:10, P, P))
- X <- mvrnorm(N, runif(P, -10, 10), Sigma)
- p <- rbinom(N, 1, 0.1)
- beta <- p * rnorm(P, 5, sqrt(5)) + (1-p) * rnorm(P, 0, sqrt(.1))
- e <- rnorm(N, 0, sqrt(10))
- y <- X%*%beta + e
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