Table 1.

Performance comparison under linear models: FP is the average number of irrelevant variables falsely selected by the method, and FN is the average number of true variables falsely excluded by the method; the number in (·) is the standard error of the FP or FN and NA* indicates that the corresponding algorithm broke down.

Methods	p = 8, n = 40, σ = 3, ρ = 0.5		p = 1000, n = 200, σ = 1, ρ = 0.5
	FP (0, 5)	FN (0, 3)	FP (0,990)	FN (0,10)
LASSO	0.77(0.093)	0.16(0.037)	8.87(0.586)	0.00(0.000)
SCAD	0.67(0.094)	0.10(0.030)	6.05(0.926)	1.16(0.150)
MARS	4.00(0.059)	0.04(0.020)	30.64(0.165)	0.00(0.000)
SSIR	0.19(0.051)	0.96(0.068)	NA*	NA*
COP	0.71(0.080)	0.56(0.066)	2.28(0.203)	0.75(0.095)