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Average test error and model size for the nonlinear example.
| Method | Test error (SE) | Selected variables | Model size | |
|---|---|---|---|---|
|
| ||||
| Important 3 var. | Noise 227 var. | |||
| L2 MSVM (C&S) | 0.441 (2.1 × 10−3) | 3 | 218.87 | 221.87 |
| L1/Sup MSVM | 0.160 (2.4 × 10−3) | 3 | 18.34 | 21.34 |
| Adapt-L1 MSVM | 0.152 (2.1 × 10−3) | 2.98 | 6.08 | 9.06 |
| Adapt-Sup MSVM | 0.147 (1.9 × 10−3) | 3 | 5.58 | 8.58 |
| Bayes | 0.120 (−) | 3 | 0 | 3 |
