$f_1\left(X_1\right)$

$f_2\left(X_2\right)$

$f_3\left(X_3\right)$

$f_4\left(X_4\right)$

$f_5\left(X_5\right)$

$f_6\left(X_6\right)$

$n=400\left(\text{CR}=35\%\right)$

group Lasso

0.109

0.312

0.324

0.150

0.682

0.624

(0.054)

(0.087)

(0.105)

(0.065)

(0.584)

(0.299)

group SCAD

0.076

0.227

0.262

0.114

0.683

0.519

(0.049)

(0.086)

(0.089)

(0.068)

(0.626)

(0.319)

group MCP

0.073

0.226

0.258

0.111

0.644

0.516

(0.048)

(0.085)

(0.094)

(0.064)

(0.540)

(0.319)

$n=200\left(\text{CR}=35\%\right)$

group Lasso

0.259

0.803

1.399

0.415

0.864

0.711

(0.101)

(0.268)

(0.558)

(0.168)

(0.610)

(0.313)

group SCAD

0.202

0.378

0.724

0.175

0.603

0.584

(0.125)

(0.274)

(0.374)

(0.142)

(0.533)

(0.662)

group MCP

0.200

0.365

0.720

0.162

0.639

0.547

(0.117)

(0.262)

(0.367)

(0.123)

(0.687)

(0.646)