Table 2.

Simulation results in the second setting

						Model error
n	Method	γ̄n	ζ̄(γn)	PSR	NSR	Median	MAD
	ESL-LASSO	4.315	0.454	0.939	1.000	0.352	0.231
	CQR-LASSO	– –	– –	1.000	0.781	0.066	0.033
100	LAD-LASSO	– –	– –	1.000	0.738	0.113	0.061
	Oracle	– –	– –	1.000	1.000	0.051	0.026
	ESL-LASSO	4.375	0.629	0.995	1.000	0.148	0.075
	CQR-LASSO	– –	– –	1.000	0.739	0.066	0.033
150	LAD-LASSO	– –	– –	1.000	0.737	0.070	0.034
	Oracle	– –	– –	1.000	1.000	0.035	0.017
	ESL-LASSO	4.449	0.633	1.000	1.000	0.080	0.039
	CQR-LASSO	– –	– –	1.000	0.789	0.046	0.023
200	LAD-LASSO	– –	– –	1.000	0.712	0.050	0.026
	Oracle	– –	– –	1.000	1.000	0.025	0.013
	ESL-LASSO	4.496	0.638	1.000	1.000	0.027	0.012
	CQR-LASSO	– –	– –	1.000	0.864	0.021	0.010
400	LAD-LASSO	– –	– –	1.000	0.686	0.023	0.011
	Oracle	– –	– –	1.000	1.000	0.012	0.006
	ESL-LASSO	4.499	0.642	1.000	1.000	0.015	0.007
	CQR-LASSO	– –	– –	1.000	0.897	0.015	0.007
600	LAD-LASSO	– –	– –	1.000	0.650	0.016	0.008
	Oracle	– –	– –	1.000	1.000	0.008	0.004
	ESL-LASSO	4.499	0.642	1.000	1.000	0.009	0.005
	CQR-LASSO	– –	– –	1.000	0.910	0.010	0.006
800	LAD-LASSO	– –	– –	1.000	0.633	0.011	0.005
	Oracle	– –	– –	1.000	1.000	0.006	0.003