$f_1\left(X_1\right)$

$f_2\left(X_2\right)$

$f_3\left(X_3\right)$

$f_4\left(X_4\right)$

$f_5\left(X_5\right)$

$f_6\left(X_6\right)$

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

group Lasso

0.149

0.173

0.224

0.998

0.073

0.124

(0.059)

(0.082)

(0.218)

(0.166)

(0.026)

(0.069)

group SCAD

0.086

0.117

0.191

0.757

0.032

0.114

(0.047)

(0.082)

(0.527)

(0.139)

(0.017)

(0.122)

group MCP

0.070

0.133

0.177

0.715

0.028

0.113

(0.042)

(0.089)

(0.479)

(0.132)

(0.013)

(0.124)

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

group Lasso

0.404

0.597

0.586

1.406

0.233

0.256

(0.149)

(0.264)

(0.143)

(0.304)

(0.109)

(0.065)

group SCAD

0.221

0.365

0.441

0.956

0.119

0.206

(0.162)

(0.503)

(0.326)

(0.338)

(0.125)

(0.120)

group MCP

0.175

0.374

0.363

0.849

0.082

0.177

(0.138)

(0.496)

(0.337)

(0.275)

(0.1044)

(0.106)