TABLE V.
Simulation results for Models 6–7 when the sparse factors are not exactly orthogonal.1
| Model | Method | MSE-Est | MSE-Pred | FPR (%) | FNR (%) | Rank | Rank (%) | Orth |
|---|---|---|---|---|---|---|---|---|
| 6 | OLS | 291.7 (133.9) | 868.5 (403.1) | 100 | 0 | |||
| Lasso | 11.8 (4.7) | 71.9 (28.4) | 10.3 | 0 | ||||
| RRR | 17.6 (7.3) | 69.5 (31.2) | 100 | 0 | 3 | 100 | 0 | |
| SOFAR-L | 2.2 (0.9) | 14.1 (6.3) | 8 | 0.1 | 3 | 100 | 0 | |
| RSSVD | 2.0 (0.7) | 13.6 (6.1) | 7.3 | 0.1 | 3 | 100 | 22.7 | |
| SOFAR-GL | 1.2 (0.5) | 8.9 (3.9) | 9.5 | 0 | 3 | 100 | 0 | |
| SRRR | 3.5 (1.1) | 28.7 (13.1) | 36.2 | 0 | 3 | 100 | 5.6 | |
| 7 | OLS | 1045.1 (122.4) | 886.5 (403.4) | 100 | 0 | |||
| Lasso | 33.2 (12.7) | 79.9 (24.4) | 3.2 | 0 | ||||
| RRR | 754.0 (67.8) | 35.2 (15.4) | 100 | 0 | 3 | 99.7 | 0 | |
| SOFAR-L | 1.2 (0.5) | 3.1 (1.5) | 2.4 | 0.2 | 3 | 100 | 0 | |
| RSSVD | 4.8 (4.1) | 8.5 (5.1) | 2.4 | 1.7 | 3 | 99.7 | 64.4 | |
| SOFAR-GL | 1.0 (0.4) | 2.6 (1.1) | 3.6 | 0 | 3 | 100 | 0 | |
| SRRR | 4.3 (1.5) | 13.9 (6.2) | 20 | 0 | 3 | 100 | 45 |
1
Adaptive versions of Lasso, SOFAR-L, RSSVD, SOFAR-GL, and SRRR were applied. Means of performance measures with standard deviations in parentheses over 300 replicates are reported. MSE-Est values are scaled by multiplying 104 in Model 6 and 105 in Model 7, and MSE-Pred values are scaled by multiplying 103.