Table 3:
The means of predictor errors (PEs) and MSEs for our two-step procedure, and the average selected model size for our screening procedure. Their associated standard errors are in the parentheses. For each case, 100 simulated data sets are used.
| (n, sn, ) | MSE(B1) | MSE(B2) | MSE(B3) | MSE(B4) | PE | Model Size |
|---|---|---|---|---|---|---|
| (100, 2000, 1) | 15.87(3.22) | 10.73(0.67) | 43.52(0.46) | 47.07(0.58) | 1.05(0.001) | 5.24(0.11) |
| (200, 2000, 1) | 5.92(0.10) | 5.10(0.11) | 27.61(0.27) | 28.23(0.31) | 1.03(0.0003) | 5.87(0.11) |
| (100, 5000, 1) | 32.28(6.57) | 12.60(1.08) | 44.28(0.52) | 47.14(0.65) | 1.07(0.002) | 5.03(0.10) |
| (200, 5000, 1) | 5.92(0.09) | 4.94(0.09) | 28.03(0.29) | 28.35(0.29) | 1.03(0.0005) | 5.83(0.13) |
| (100, 2000, 25) | 126.17(1.84) | 119.15(2.56) | 227.86(1.96) | 279.22(3.17) | 25.99(0.027) | 5.15(0.11) |
| (200, 2000, 25) | 84.42(1.25) | 73.69(1.41) | 177.90(1.66) | 214.67(2.15) | 25.54(0.012) | 5.82(0.11) |
| (100, 5000, 25) | 136.27(3.45) | 118.73(2.63) | 228.65(2.19) | 278.43(3.42) | 26.04(0.024) | 4.96(0.11) |
| (200, 5000, 25) | 82.69(1.12) | 73.53(1.37) | 177.44(1.57) | 211.25(2.12) | 25.56(0.012) | 5.75(0.13) |