Fig. 5.

P values calculated from the ${\chi }_1^2$ approximation to the LLR. Parameters: $n=\mathrm{4,\; 000},\kappa =0.2$, with half the coordinates of $\mathit{\beta }$ nonzero, generated i.i.d. from $\mathcal{N}\left(\mathrm{7,1}\right)$.