Fig. 6

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