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Three evaluation metrics of Algorithm 3 with 𝒜h (we denote it as 𝒜h-Trans-GLM) and desparsified Lasso on target data, under linear, logistic and Poisson regression models, with different settings of K. h = 20. n0 = 200 and nk = 100 for all k = 1, … , p, p = 500, s = 5. Error bars denote the standard deviations.
