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Lasso-penalized logistic regression. Details as in Figure 4. Shown are the the miscoverage and median length of selection (confidence) intervals for main proposal of this paper. The target miscoverage is 10%. Selection of λ is done using either a fixed value yielding moderate sparsity or cross-validation (cv).
| N>p, fixed λ | N>p, cv | N<p, fixed λ | N<p, cv | |
|---|---|---|---|---|
| miscoverage | 0.11 | 0.11 | 0.14 | 0.14 |
| median length | 8.07 | 6.63 | 5.75 | 29.69 |
