$\rho$

Method

PMSE(SE)

Freq.(%)

$N_{nz}$

FDR

FNR

$\rho =0.1$

Oracle

2.821(3.118)

100.000

10.000

0.100

0.530

Ridge

3.235(5.184)

84.833

50.000

0.077

0.732

NCPM

2.873(2.380)

88.667

9.731

0.080

0.490

MCP

2.656(3.038)

87.000

9.435

0.180

0.483

Enet

3.011(4.090)

87.000

29.890

0.190

0.610

$\rho =0.4$

Oracle

2.172(1.532)

100.000

10.000

0.040

0.500

Ridge

2.413(1.825)

81.000

50.000

0.273

0.600

NCPM

2.141(1.689)

86.500

9.950

0.030

0.480

MCP

2.245(1.680)

84.320

9.950

0.020

0.520

Enet

2.391(1.799)

83.647

34.310

0.160

0.598