MV Skew Gamma: copy the internals of lcmix::rmvgamma()
from RForge, cite it, and include it here
Use BKMR to analyze the simulated data (we will show some quick
examples in vignettes, but not include any functions)
Calculate a PIP threshold that preserves a 5% test size for real or
simulated data (as close as we can for now). This function should only
depend on the response vector, or summary statistics of it (specifically
\(|\text{cv}(y)|\) and \(n\)).