High Dimensional Variable Selection with Error Control

Figure 2

Selection frequencies of each of the 25 variables across the LASSO, the SCAD, and the MCP during 500 simulations with . The -axis depicts the names of the variables, and the -axis is the frequency of variables selected out of 500 simulations. The variables not depicted on the -axis in Figure 2 did not have any counts. Each of the three methods is identified by color in legend.

(a) FDR.05-ISIS

(b) FDR.20-ISIS

(c) RF.1000-ISIS