Table 3. Root mean squared errors for different methods.

	n = 50				n = 100				n = 200
True ρ	gam	LDhat	SSL	PAC	gam	LDhat	SSL	PAC	gam	LDhat	SSL	PAC
10	9.6	4.7	6.6	4.9	10.4	5.0	5.7	4.1	8.9	4.7	4.9	3.4
20	16.5	9.5	12.7	8.3	6.1	7.8	8.1	6.4	6.0	5.7	6.8	4.5
30	18.6	18.4	13.2	11.4	12.4	9.0	9.1	7.5	9.2	7.2	7.3	6.0
40	30.1	16.8	20.1	12.9	15.2	11.9	10.7	9.0	11.7	10.1	9.7	8.5
50	33.9	19.8	25.3	14.4	17.2	14.0	13.8	10.5	12.3	10.7	10.7	9.3
60	31.0	20.4	23.2	14.5	18.3	17.6	15.7	13.6	12.4	15.9	12.0	10.8
70	34.3	26.2	32.3	18.6	22.7	19.8	19.8	13.4	15.3	15.4	13.8	10.6
80	31.7	33.9	32.9	23.6	24.1	22.4	18.8	15.0	17.1	19.0	13.8	13.5
90	33.3	30.2	42.4	23.3	25.7	18.5	22.8	16.1	22.4	20.2	18.2	14.8
100	29.2	34.9	42.4	26.0	26.6	27.5	25.8	19.0	18.1	23.6	16.8	13.7
110	25.7	35.0	41.9	27.0	28.2	27.5	30.3	21.7	20.4	24.4	18.9	17.1
120	23.6	37.6	42.4	26.7	27.0	29.0	31.4	21.5	22.1	26.8	22.2	19.6
130	22.1	36.7	45.4	31.0	24.2	29.1	33.4	25.1	22.4	28.5	25.7	22.1
140	18.9	31.1	41.5	28.3	24.4	34.7	36.2	24.9	17.2	27.1	23.5	20.6
150	26.4	40.1	45.3	34.9	18.8	32.2	31.8	20.2	17.9	30.4	27.0	23.9

The table contains the root mean squared errors of four different estimators (gam-boosting, LDhat, SSL, and PAC) of ρ under the setup of Figure 2.