TABLE 2.

Simulation results for the first predictor to enter for a global null true model. We vary the number of predictors p, correlation parameter ρ and structure of the predictor correlation matrix. Shown are the mean, variance and tail probability $\mathbb{P}(T_1>q_{0.95})$ of the covariance statistic T₁, where q_0.95 is the 95% quantile of the Exp(1) distribution, computed over 500 simulated data sets for each setup. Standard errors are given by “se.” (The panel in the bottom left corner is missing because the equal data correlation setup is not defined for p > n.)

	Equal data corr			Equal pop’n corr			AR(1)			Block diagonal
ρ	Mean	Var	Tail pr	Mean	Var	Tail pr	Mean	Var	Tail pr	Mean	Var	Tail pr
n = 100, p = 10
0	0.966	1.157	0.062	1.120	1.951	0.090	1.017	1.484	0.070	1.058	1.548	0.060
0.2	0.972	1.178	0.066	1.119	1.844	0.086	1.034	1.497	0.074	1.069	1.614	0.078
0.4	0.963	1.219	0.060	1.115	1.724	0.092	1.045	1.469	0.060	1.077	1.701	0.076
0.6	0.960	1.265	0.070	1.095	1.648	0.086	1.048	1.485	0.066	1.074	1.719	0.086
0.8	0.958	1.367	0.060	1.062	1.624	0.092	1.034	1.471	0.062	1.062	1.687	0.072
se	0.007	0.015	0.001	0.010	0.049	0.001	0.013	0.043	0.001	0.010	0.047	0.001
n = 100, p = 50
0	0.929	1.058	0.048	1.078	1.721	0.074	1.039	1.415	0.070	0.999	1.578	0.048
0.2	0.920	1.032	0.038	1.090	1.476	0.074	0.998	1.391	0.054	1.064	2.062	0.052
0.4	0.928	1.033	0.040	1.079	1.382	0.068	0.985	1.373	0.060	1.076	2.168	0.062
0.6	0.950	1.058	0.050	1.057	1.312	0.060	0.978	1.425	0.054	1.060	2.138	0.060
0.8	0.982	1.157	0.056	1.035	1.346	0.056	0.973	1.439	0.060	1.046	2.066	0.068
se	0.010	0.030	0.001	0.011	0.037	0.001	0.009	0.041	0.001	0.011	0.103	0.001
n = 100, p = 200
0				1.004	1.017	0.054	1.029	1.240	0.062	0.930	1.166	0.042
0.2				0.996	1.164	0.052	1.000	1.182	0.062	0.927	1.185	0.046
0.4				1.003	1.262	0.058	0.984	1.016	0.058	0.935	1.193	0.048
0.6				1.007	1.327	0.062	0.954	1.000	0.050	0.915	1.231	0.044
0.8				0.989	1.264	0.066	0.961	1.135	0.060	0.914	1.258	0.056
se				0.008	0.039	0.001	0.009	0.028	0.001	0.007	0.032	0.001