Fig. 5

Results for sparse high-dimensional simulation setting (a). Boxplots of false positives, false negatives, estimation error and prediction error on independent test set (of size 1000), for 500 simulation replicates with \(n=100\), \(p=1000\), \(S_{{\text {true}}}=\{1,\ldots ,10\}\) and Toeplitz correlation with \(\rho =0.8\)