Table 1.
Group size | Penalty selected by AIC | Penalty selected by BIC | |||||||
---|---|---|---|---|---|---|---|---|---|
Bridge | MCP | Lasso | SCAD | SGLasso | Bridge | MCP | Lasso | SCAD | |
1 | 0.682 | 0.758 | 0.778 | 0.767 | 0.781 | 0.682 | 0.768 | 0.773 | 0.652 |
10 | 0.770 | 0.759 | 0.793 | 0.788 | 0.787 | 0.753 | 0.772 | 0.747 | 0.735 |
20 | 0.774 | 0.761 | 0.788 | 0.770 | 0.787 | 0.777 | 0.772 | 0.756 | 0.667 |
30 | 0.758 | 0.760 | 0.790 | 0.774 | 0.787 | 0.787 | 0.771 | 0.753 | 0.644 |
40 | 0.769 | 0.761 | 0.789 | 0.758 | 0.787 | 0.771 | 0.772 | 0.754 | 0.595 |
50 | 0.774 | 0.761 | 0.780 | 0.740 | 0.791 | 0.763 | 0.770 | 0.732 | 0.579 |
60 | 0.765 | 0.760 | 0.784 | 0.750 | 0.791 | 0.765 | 0.771 | 0.706 | 0.581 |
70 | 0.771 | 0.760 | 0.779 | 0.760 | 0.789 | 0.757 | 0.770 | 0.718 | 0.619 |
80 | 0.781 | 0.761 | 0.776 | 0.759 | 0.795 | 0.747 | 0.770 | 0.721 | 0.550 |
90 | 0.761 | 0.760 | 0.774 | 0.748 | 0.781 | 0.743 | 0.770 | 0.709 | 0.478 |
100 | 0.771 | 0.760 | 0.778 | 0.706 | 0.790 | 0.760 | 0.770 | 0.704 | 0.502 |
Although listed under AIC, SGLasso used only 10-fold cross validation. The Pearson correlation for ridge regression for comparison is 0.737.