The proportion of the three relevant covariates (i.e., |$X_1, X_2,$| and |$X_3$|⁠) correctly selected (the “true positives”; the two gray panels), and the |$p-3$| irrelevant covariates (i.e., |$X_4, X_5, \ldots, X_p$|⁠) incorrectly selected (the “false positives”; the two white panels), respectively (and |$\pm 1$| standard deviation), as the sample size |$n$| varies from |$100$| to |$1000$|⁠, for each |$p \in \{50, 200\}$|⁠.