Table 2.

MSEs as well as estimated standard errors (in parentheses) for various methods based on 100 simulation replications in Example 2. Here Full, True, Lasso, Convex, DCE denote the least squares estimates based on the full model, the true model, the Lasso estimate, our convex counterpart based on iteration m = 0, and our estimate.

p	n	σ	Full	True model		Lasso	Our		Ave # Iter	Ave match proportion
				Grouping	Variable		Convex	DCE
50	50	0.58	0.327 (0.007)	0.041 (0.002)	0.142 (0.004)	0.227 (0.006)	0.276 (0.006)	0.123 (0.010)	3.01 (0.07)	0.799
50	100	0.41	0.089 (0.002)	0.010 (0.001)	0.037 (0.001)	0.056 (0.002)	0.075 (0.002)	0.011 (0.001)	3.12 (0.03)	0.862
100	50	0.58	0.325 (0.007)	0.037 (0.002)	0.136 (0.004)	0.311 (0.007)	0.327 (0.007)	0.325 (0.007)	2.17 (0.04)	0.778
100	100	0.41	0.165 (0.003)	0.010 (0.001)	0.034 (0.001)	0.073 (0.002)	0.116 (0.003)	0.110 (0.003)	2.06 (0.02)	0.722