Fig. 5. Simulation results of the case of compound symmetry (top), polynomially (middle) and exponentially (bottom) decaying dependence structure with different correlation coefficients for multivariate normal distribution. In each panels, 5 boxes indicate the proposed method(P), Storey(S), Langaas(L), Tong’s Linear method(T) and Fan (F) from the left. The proportion of signals is 0.1. Dimension is 50. Blue horizontal lines indicate 0.1.
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