n

p

SGT

MARSA

Penalized likelihood

α = 0.05

α = 0.001

FDR = 0.05

FDR = 0.1

LASSO

ELASTA5*

ELASTA3**

50

250

0.634

0.517

0.542

0.601

0.585

0.588

0.644

0.675

500

0.631

0.517

0.54

0.602

0.56

0.548

0.585

0.638

750

0.633

0.517

0.541

0.598

0.551

0.533

0.554

0.594

100

250

0.752

0.557

0.709

0.789

0.716

0.783

0.805

0.808

500

0.751

0.556

0.705

0.788

0.675

0.698

0.756

0.794

750

0.748

0.556

0.702

0.785

0.652

0.646

0.7

0.756

200

250

0.899

0.687

0.914

0.95

0.894

0.914

0.905

0.897

500

0.897

0.683

0.912

0.948

0.873

0.927

0.916

0.907

750

0.896

0.683

0.911

0.949

0.853

0.926

0.92

0.911