signal predictors.

  **Method**                                  **Median MSE**   **Median FP**   **Median FN**
  ------------------------------------------- ---------------- --------------- ---------------
  **Example 1**                                                                
  Lasso                                       2.44 (0.28)      0.50 (0.02)     0 (0.02)
  Rescaled Lasso                              2.16 (0.26)      0.40 (0.02)     0 (0.02)
  Lasso-OLS Hybrid                            2.10 (0.25)      0.25 (0.02)     0 (0.01)
  Naive Elastic Net                           2.17 (0.26)      0.50 (0.02)     0 (0.02)
  Elastic Net                                 1.82 (0.25)      0.50 (0.02)     0 (0.02)
  Ridge                                       2.79 (0.28)      0.62 (0)        0 (0)
  Component Lasso                             1.59 (0.22)      0.40 (0.02)     0 (0.02)
  **Example 2 (Signal in $C_1$ and $C_2$)**                                    
  Lasso                                       7.63 (0.55)      0.37 (0.02)     0 (0.02)
  Rescaled Lasso                              7.17 (0.58)      0.33 (0.02)     0 (0.02)
  Lasso-OLS Hybrid                            7.48 (0.58)      0.25 (0.02)     0.2 (0.02)
  Naive Elastic Net                           6.08 (0.48)      0.43 (0.01)     0 (0.02)
  Elastic Net                                 5.87 (0.40)      0.50 (0.01)     0 (0.02)
  Ridge                                       6.61 (0.47)      0.50 (0)        0 (0)
  Component Lasso                             4.89 (0.33 )     0.43 (0.01)     0 (0.02)
  **Example 2 (Signal in $C_1$)**                                              
  Lasso                                       5.95 (0.53)      0.25 (0.02)     0 (0.02)
  Rescaled Lasso                              5.49 (0.44)      0.20 (0.02)     0 (0.02)
  Lasso-OLS Hybrid                            5.31 (0.47)      0 (0.01)        0.2 (0.01)
  Naive Elastic Net                           4.14 (0.47)      0.33 (0.01)     0 (0.01)
  Elastic Net                                 1.83 (0.27)      0 (0.02)        0 (0)
  Ridge                                       4.4 (0.5)        0.50 (0)        0 (0)
  Component Lasso                             1.57\* (0.27)    0 (0.02)        0 (0)
  **Example 3**                                                                
  Lasso                                       58.61 (1.43)     0.31 (0.01)     