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. Author manuscript; available in PMC: 2010 Oct 1.

Published in final edited form as: J Multivar Anal. 2009 Oct 1;100(9):2100–2111. doi: 10.1016/j.jmva.2009.06.009

Table 5.1.

Comparison of variable selection procedures (σ² = 1)^a

				Model	Zero coef.
(n, f)	Method	MSE(β̂)	MSE(f̂)	Size (3)	Corr.(5)	Inc.(0)
(100, f₁)	DPLSE	0.05 (0.06)	0.07 (0.04)	3.22	4.78	0
	SCAD	0.09 (0.09)	0.17 (0.07)	3.39	4.61	0
	LASSO	0.10 (0.09)	0.17 (0.07)	3.82	4.18	0
(100, f₂)	DPLSE	0.06 (0.06)	0.14 (0.05)	3.21	4.79	0
	SCAD	0.08 (0.08)	0.28 (0.10)	3.31	4.69	0
	LASSO	0.13 (0.10)	0.29 (0.11)	3.69	4.31	0
(200, f₁)	DPLSE	0.02 (0.02)	0.04 (0.02)	3.08	4.92	0
	SCAD	0.02 (0.02)	0.09 (0.03)	3.26	4.74	0
	LASSO	0.03 (0.02)	0.09 (0.03)	3.45	4.55	0
(200, f₂)	DPLSE	0.02 (0.02)	0.08 (0.03)	3.07	4.93	0
	SCAD	0.03 (0.03)	0.19 (0.05)	3.24	4.76	0
	LASSO	0.04 (0.03)	0.19 (0.05)	3.53	4.47	0

^a

SCAD and LASSO estimates are based on M converged MC samples, where M ≥ 90 except M = 72 for (200, f₁).