Algorithm 4: Data Generation Procedure for Regression Example (# 1)

1. Set ${\sum }_{m,n}\equiv \{\begin{array}{cc}1.0& \text{if}m=n\\ 0.6& \text{if}m\ne n\end{array}$ 3. Draw Xj ∼ N(0, Σ*)

2. Draw $\sum \ast \sim \text{Wishart}(\frac{1}{2p}\sum ,2p)$ 4. Draw Yj ∼ N(Xjβ, 1)