Methods included in an evaluation on simulated data.

Type I and type II error rates were determined for these methods by the correct or incorrect rejection of H0; for CCLasso and SPIEC-EASI, no inferential methodology was provided and so the correct or incorrect estimation of wjk as zero was used. Note that although SPIEC-EASI infers the precision matrix, construction of the true correlation matrix in the simulated data guarantees that the same elements will be non-zero in the precision and covariance matrix.