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. Author manuscript; available in PMC: 2015 Jan 8.
Published in final edited form as: Ann Stat. 2014 May 20;42(3):872–917. doi: 10.1214/13-AOS1202

Table 1.

Performance of PLS and FGMM over 100 replications. p = 50, n = 200

PLS FGMM
λ = 0.05 λ = 0.1 λ = 0.5 λ = 1 λ = 0.05 λ = 0.1 λ = 0.2
MSES 0.145 (0.053) 0.133 (0.043) 0.629 (0.301) 1.417 (0.329) 0.261 (0.094) 0.184 (0.069) 0.194 (0.076)
MSEN 0.126 (0.035) 0.068 (0.016) 0.072 (0.016) 0.095 (0.019) 0.001 (0.010) 0 (0) 0.001 (0.009)
TP 5 (0) 5 (0) 4.82 (0.385) 3.63 (0.504) 5 (0) 5 (0) 5 (0)
FP 37.68 (2.902) 35.36 (3.045) 8.84 (3.334) 2.58 (1.557) 0.08 (0.337) 0 (0) 0.02 (0.141)

MSES is the average of ‖β̂S − β0S‖ for nonzero coefficients. MSEN is the average of ‖β̂N − β0N‖ for zero coefficients. TP is the number of correctly selected variables, and FP is the number of incorrectly selected variables. The standard error of each measure is also reported.