Table 2.

Empirical estimates of the centering and SD of the MLE

Parameter	$p=200$	$p=400$	$p=800$
${\alpha }_{\star }=1.1678$	$1.1703\left(0.0002\right)$	$1.1687\left(0.0002\right)$	$1.1681\left(0.0001\right)$
${\sigma }_{\star }=3.3466$	$3.3567\left(0.0011\right)$	$3.3519\left(0.0008\right)$	$3.3489\left(0.0006\right)$

SEs of these estimates are within parentheses. In this setting, κ=0.1 and γ² =5. Half of the β_js are equal to 10 and the others to 0.