Table 1:

Summary of parameter settings used in the simulation study

Parameter	Values
n : p : k0	500 : 100,1000 : 10
α, AUTOREG	*0.8, 0.9
(ρ,ω), BLOCK	*(0.5,0.1), *(0.5,0.3), *(0.5,0.4)
β	(1,1,1,1,1,1,1,1,1,1, 0,…, 0)T, **(10,10,10,10,10,10,10, 5, 5, 5,0,…, 0)T
SNR (R2)	0.1 (0.09), *0.25 (0.20), *0.50 (0.33), 0.75 (0.43), 1 (0.50), *2 (0.67), *3 (0.75), 10 (0.91)

^*:results in Supplement, Section 4.

^**:7 stronger and 3 weaker active signals (β_j = 10 and 5).

Scenarios are replicated 5 or 10 times depending on the SNR. R² based on the SNR using the formulation in Hastie et al. (2017).