Variable Selection and Parameter Estimation with the Atan Regularization Method

Table 5

Example 11: comparison of estimators.

Estimator							MME (SD)	RASE ()
,
SCAD	0.9617	2.0128	2.8839	4.0611	4.7450	5.0000	0.0695 (0.0625)	0.6269
Lasso	0.8278	1.9517	2.7984	3.9274	5.5200	6.0000	0.1727 (0.0790)	0.8079
Dantzig	0.8767	1.9544	2.7894	3.9302	5.4590	6.0000	0.1696 (0.0680)	0.7278
Atan	0.9710	2.0121	2.9865	4.0472	4.9820	5.0000	0.0658 (0.0630)	0.6214
,
SCAD	0.9836	1.9989	2.9283	4.0278	5.2000	5.0000	0.0230 (0.0210)	0.3604
Lasso	0.9219	1.9529	2.9124	3.9580	5.1450	5.0000	0.0500 (0.0315)	0.4220
Dantzig	0.9534	1.9675	2.9096	3.9345	5.1460	5.0000	0.0510 (0.0290)	0.4154
Atan	0.9904	1.9946	2.9548	4.0189	5.1250	5.0000	0.0190 (0.0245)	0.3460