Table 4.

Simulation results for interval estimators. All table entries are multiplied by 100.

β̂λ	Model	Subset	Feature	Normal	Percentile	HDR(M)	HDR(S)
alasso	1	𝒜c	Coverage	98.1	99.4	98.2	98.2
			Length	65.0	57.1	67.3	54.5
		𝒜	Coverage	94.5	93.0	96.5	92.5
			Length	84.2	76.8	75.4	72.6
	2	𝒜c	Coverage	97.5	99.2	98.1	98.1
			Length	64.7	57.3	67.9	54.7
		𝒜	Coverage	96.2	90.8	92.2	88.8
			Length	77.7	67.2	75.8	62.8
	3	𝒜c	Coverage	97.7	99.1	98.0	98.0
			Length	64.1	57.6	68.5	55.0
		𝒜	Coverage	94.0	89.3	89.2	85.7
			Length	73.8	64.4	75.1	60.3
	4	𝒜c	Coverage	98.1	98.9	98.3	98.3
			Length	63.7	56.8	67.1	53.9
		𝒜	Coverage	94.1	87.8	90.0	84.1
			Length	72.4	63.0	74.6	59.4
lasso	1	𝒜c	Coverage	97.7	98.1	96.9	96.9
			Length	61.4	54.3	76.8	53.5
		𝒜	Coverage	89.5	90.5	89.5	88.0
			Length	82.1	71.8	71.2	70.0
	2	𝒜c	Coverage	97.5	98.1	96.6	96.6
			Length	59.7	53.7	75.2	52.8
		𝒜	Coverage	95.7	90.2	94.2	90.2
			Length	69.3	61.3	74.7	59.5
	3	𝒜c	Coverage	97.5	98.5	96.5	96.5
			Length	59.2	53.6	75.1	52.7
		𝒜	Coverage	94.4	90.1	94.9	89.8
			Length	65.8	58.8	74.9	57.1
	4	𝒜c	Coverage	96.9	98.6	96.9	96.9
			Length	58.7	52.9	74.6	52.1
		𝒜	Coverage	95.0	89.1	94.3	89.9
			Length	64.3	57.5	75.0	55.9