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Selection frequencies of each of the 25 variables across the LASSO, the SCAD, and the MCP during 500 simulations with ρ = 0.1. The x-axis depicts the names of the variables, and the y-axis is the frequency of variables selected out of 500 simulations. The variables not depicted on the x-axis in Figure 2 did not have any counts. Each of the three methods is identified by color in legend.
