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. Author manuscript; available in PMC: 2020 Jan 1.

Published in final edited form as: J Am Stat Assoc. 2018 Aug 6;114(525):419–433. doi: 10.1080/01621459.2017.1411269

Results for the example with independent regressors and various group sizes: m = 1000, p = 7917 and n = 5000. Bars correspond to ±2SE. Entries of design matrix were drawn from 𝒩(0, 1/n) distribution and truly relevant signal, i, was generated such as ${‖ X_{I_{i}} β_{I_{i}} ‖}_{2} = \frac{1}{m} \sum_{i = 1}^{m} B (m, l_{i})$ , where B(m, l) is defined in (H.4).