$f_1\left(X_1\right)$

$f_2\left(X_2\right)$

$f_3\left(X_3\right)$

$f_4\left(X_4\right)$

$f_5\left(X_5\right)$

$f_6\left(X_6\right)$

$n=400\left(\text{CR}=40\%\right)$

group Lasso

0.111

0.247

0.176

0.132

0.750

0.666

(0.055)

(0.102)

(0.140)

(0.074)

(0.702)

(0.313)

group SCAD

0.077

0.202

0.110

0.109

0.681

0.563

(0.051)

(0.100)

(0.059)

(0.087)

(0.592)

(0.357)

group MCP

0.074

0.202

0.113

0.107

0.655

0.555

(0.050)

(0.100)

(0.074)

(0.087)

(0.552)

(0.345)

$n=200\left(\text{CR}=40\%\right)$

group Lasso

0.392

0.746

0.777

0.543

1.304

0.439

(0.144)

(0.343)

(0.456)

(0.272)

(0.834)

(0.197)

group SCAD

0.133

0.441

0.271

0.217

0.894

0.297

(0.159)

(0.357)

(0.369)

(0.283)

(0.769)

(0.244)

group MCP

0.122

0.428

0.286

0.197

0.916

0.289

(0.148)

(0.346)

(0.462)

(0.240)

(1.125)

(0.243)