Fig. 1.

Density of the screening statistics $|{\widehat{\beta }}_{\mathcal{C},6}|$ (red) for the hidden variable compared with a mixture of densities of screening statistics $|{\widehat{\beta }}_{\mathcal{C},11:1000}|$ (blue) for the noise variables with different conditioning sets: a $\mathcal{C}=\left\{\varnothing \right\}$ which is equivalent to marginal screening; b $\mathcal{C}=\left\{1\right\}$ one truly active variables; c $\mathcal{C}=\left\{1,2\right\}$ two truly active variables; d $\mathcal{C}=\left\{7,\dots ,10\right\}$ four noisy variables (Color figure online)