Table 2.

Simulation study: Mean squared prediction error, proportion of zero coeficients being set to zero (P₀₊) and proportion of nonzero coefficient being set to zero (P₀₋) of model selection results based on the Orcale estimator, the standard unregularized estimator, the LASSO estimator and the Adaptive LASSO (ALASSO) estimator using Gehan’s rank based, BJ (BJ) iterative and IPW procedures, for β_o = (0.35,0.35,0,0,0,0.35,0,0,0)′.

		ρ = 0			ρ = 0.5			ρ = 0.9
		MSE
		Gehan	BJ	IPW	Gehan	BJ	IPW	Gehan	BJ	IPW
	Oracle	0.19	0.22	0.15	0.17	0.21	0.16	0.18	0.22	0.22
50	Regular	0.68	0.72	0.41	0.67	0.70	0.44	0.69	0.74	0.50
	LASSO	0.33	0.35	0.31	0.30	0.40	0.33	0.25	0.27	0.31
	ALASSO	0.36	0.37	0.33	0.36	0.43	0.35	0.29	0.30	0.32
		Gehan	BJ	IPW	Gehan	BJ	IPW	Gehan	BJ	IPW
	Oracle	0.08	0.08	0.08	0.08	0.08	0.10	0.08	0.08	0.16
100	Regular	0.25	0.26	0.20	0.25	0.26	0.21	0.26	0.27	0.26
	LASSO	0.18	0.23	0.21	0.14	0.22	0.22	0.10	0.14	0.21
	ALASSO	0.17	0.22	0.19	0.16	0.20	0.21	0.12	0.15	0.22
		P 0+
		Gehan	BJ	IPW	Gehan	BJ	IPW	Gehan	BJ	IPW
	Oracle	1	1	1	1	1	1	1	1	1
50	Regular	0	0	0	0	0	0	0	0	0
	LASSO	0.70	0.87	0.80	0.69	0.78	0.74	0.69	0.71	0.74
	ALASSO	0.73	0.87	0.78	0.70	0.81	0.76	0.71	0.73	0.76
		Gehan	BJ	IPW	Gehan	BJ	IPW	Gehan	BJ	IPW
	Oracle	1	1	1	1	1	1	1	1	1
100	Regular	0	0	0	0	0	0	0	0	0
	LASSO	0.61	0.83	0.72	0.64	0.81	0.73	0.65	0.77	0.72
	ALASSO	0.74	0.87	0.77	0.74	0.84	0.77	0.71	0.82	0.77
		P 0−
		Gehan	BJ	IPW	Gehan	BJ	IPW	Gehan	BJ	IPW
	Oracle	0	0	0	0	0	0	0	0	0
50	Regular	0	0	0	0	0	0	0	0	0
	LASSO	0.40	0.72	0.55	0.33	0.55	0.49	0.46	0.49	0.57
	ALASSO	0.38	0.69	0.52	0.39	0.61	0.53	0.55	0.63	0.66
		Gehan	BJ	IPW	Gehan	BJ	IPW	Gehan	BJ	IPW
	Oracle	0	0	0	0	0	0	0	0	0
100	Regular	0	0	0	0	0	0	0	0	0
	LASSO	0.18	0.44	0.31	0.10	0.31	0.28	0.32	0.42	0.44
	ALASSO	0.17	0.39	0.28	0.18	0.35	0.35	0.46	0.56	0.59