Table 2.
Model error for the FGN error covariance models of low dimension. Averages and standard errors in parentheses are based on 50 replications with n = 50. Tuning parameters were selected using a 10x resolution.
| p | q | H | s1, s2 | OLS | lasso | sep.lasso | MRCE | ap.MRCE | C&W |
|---|---|---|---|---|---|---|---|---|---|
| 20 | 20 | 0.95 | 0.1, 1 | 14.51 (0.69) |
2.72 (0.10) |
2.71 (0.11) |
1.03 (0.02) |
1.01 (0.03) |
9.86 (0.46) |
| 20 | 20 | 0.90 | 0.1, 1 | 14.49 (0.53) |
2.76 (0.09) |
2.77 (0.09) |
1.78 (0.05) |
1.71 (0.05) |
10.29 (0.36) |
| 20 | 20 | 0.95 | 0.5, 1 | 14.51 (0.69) |
9.89 (0.26) |
8.94 (0.21) |
3.63 (0.09) |
4.42 (0.16) |
11.72 (0.45) |
| 20 | 20 | 0.90 | 0.5, 1 | 14.49 (0.53) |
10.01 (0.21) |
9.03 (0.18) |
6.11 (0.14) |
6.34 (0.13) |
12.29 (0.34) |