“…The Oracle estimator uses OLS on the true features and serves as a natural baseline: it uses information unavailable to the analyst (the true genes) but represents the best method were that information available. We also present results for Lasso ( Tibshirani, 1996 ), Ridge ( Hoerl and Kennard, 1970 ), Elastic Net ( Zou and Hastie, 2005 ), SPC ( Bair et al , 2006 ), AIMER ( Ding and McDonald, 2017 ), ISPCA ( Piironen and Vehtari, 2018 ) and PCR using FPS directly without feature screening (using Algorithm 1 without Steps 9–11). For ISPCA, we use the R package to estimate the principal components before performing regression.…”