| Algorithm 1 Creating Synthetic Features. |
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Input: N (subjects), K (features), Output: 3-dimensional () feature matrix with desired correlation structure for for Set where Z is a random standard normal deviate. Set for for for Set ; where W is a random normal deviate with mean = 0 and standard deviation = For each feature j, treat as a single vector of length and apply a z-score transform to ensure mean = 0 and standard deviation = 1 |