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I want to make a table like this

However, I can only get

Here is my code.

documentclass{beamer}

usepackage{booktabs}

usepackage{siunitx}

begin{document}



begin{frame}

  frametitle{Simulation example }



  begin{table}footnotesize

    centering

    caption{Performance of five methods at penalty levels $lambda_j={2^{j-1}(logp)/n}^{1/2}$ $(j=1,2,3)$, across 100 replications.}

    label{tab:fancy_table}

    renewcommand{arraystretch}{0.8}

    setlength{tabcolsep}{4mm}

      begin{tabular}{l

        c

        S[separate-uncertainty,table-figures-uncertainty=1]

        S[separate-uncertainty,table-figures-uncertainty=1]

        S

        S}

        toprule

        {Method} &             & {$hat{sigma}/sigma$} & {$bar{sigma}/sigma$} & {AMS} & {SSP} \ 

        midrule

                 & $lambda_1$ & 1.6 pm 0.5             & -1.1 pm 0.6            & 7.6   & 1     \    

        PMLE     & $lambda_1$ & 2.6 pm 0.5             & -0.2 pm 0.5            & 3     & 1     \ 

                 & $lambda_1$ & 3.7 pm 0.6             & 1.1 pm 1.2             & 1.9   & 0.3   \ 

        midrule

                 & $lambda_1$ & -0.1 pm 0.6            & -2.2 pm 0.7            & 15.3  & 1     \   

        BC       & $lambda_1$ & 1.3 pm 0.6             & -0.2 pm 0.5            & 3.2   & 1     \ 

                 & $lambda_1$ & 3.1 pm 0.7             & 0.9 pm 1.2             & 2.1   & 0.4   \ 

        midrule

        Scaled   & $lambda_1$ & -0.1 pm 0.6            & -2.2 pm 0.7            & 15.3  & 1     \     

        lasso    & $lambda_1$ & 1.3 pm 0.6             & -0.2 pm 0.5            & 3.2   & 1     \     

                 & $lambda_1$ & 3.1 pm 0.7             & 0.9 pm 1.2             & 2.1   & 0.4   \ 

        midrule

        Scaled   & $lambda_1$ & -0.1 pm 0.6            & -2.2 pm 0.7            & 15.3  & 1     \     

        MCP      & $lambda_1$ & 1.3 pm 0.6             & -0.2 pm 0.5            & 3.2   & 1     \   

                 & $lambda_1$ & 3.1 pm 0.7             & 0.9 pm 1.2             & 2.1   & 0.4   \

        midrule

        Scaled   & $lambda_1$ & -0.1 pm 0.6            & -2.2 pm 0.7            & 15.3  & 1     \     

        SCAD     & $lambda_1$ & 1.3 pm 0.6             & -0.2 pm 0.5            & 3.2   & 1     \     

                 & $lambda_1$ & 3.1 pm 0.7             & 0.9 pm 1.2             & 2.1   & 0.4   \

        bottomrule

      end{tabular}

  end{table}

end{frame}



end{document}

I'm not entirely sure what you want. Is it automatically adding .0 to integers or having whitespace instead of rules or centred dots as decimal markers?

documentclass{beamer}

usepackage{booktabs}

usepackage{siunitx}

sisetup{output-decimal-marker={cdot}}

begin{document}



begin{frame}{Simulation example }



  begin{table}

    footnotesize

    centering

    caption{Performance of five methods at penalty levels $lambda_j={2^{j-1}(logp)/n}^{1/2}$ ($j=1,2,3$), across 100 replications.}

    label{tab:fancy_table}

    renewcommand{arraystretch}{0.8}

    setlength{tabcolsep}{4mm}

    begin{tabular}{

      @{}

      l

      c

      S[table-format=-1.1+-1.1,separate-uncertainty,table-figures-uncertainty=1]

      S[table-format=-1.1+-1.1,separate-uncertainty,table-figures-uncertainty=1]

      S[table-format=2.1,round-integer-to-decimal,round-mode=places,round-precision=1]

      S[table-format=1.1,round-integer-to-decimal,round-mode=places,round-precision=1]

      @{}

      }

      Method &             & {$hat{sigma}/sigma$} & {$bar{sigma}/sigma$} & {AMS} & {SSP} \ 

      addlinespace

             & $lambda_1$ & 1.6 pm 0.5             & -1.1 pm 0.6            & 7.6   & 1     \    

      PMLE   & $lambda_2$ & 2.6 pm 0.5             & -0.2 pm 0.5            & 3     & 1     \ 

             & $lambda_3$ & 3.7 pm 0.6             & 1.1 pm 1.2             & 1.9   & 0.3   \ 

      addlinespace

             & $lambda_1$ & -0.1 pm 0.6            & -2.2 pm 0.7            & 15.3  & 1     \   

      BC     & $lambda_2$ & 1.3 pm 0.6             & -0.2 pm 0.5            & 3.2   & 1     \ 

             & $lambda_3$ & 3.1 pm 0.7             & 0.9 pm 1.2             & 2.1   & 0.4   \ 

      addlinespace

      Scaled & $lambda_1$ & -0.1 pm 0.6            & -2.2 pm 0.7            & 15.3  & 1     \     

      lasso  & $lambda_2$ & 1.3 pm 0.6             & -0.2 pm 0.5            & 3.2   & 1     \     

             & $lambda_3$ & 3.1 pm 0.7             & 0.9 pm 1.2             & 2.1   & 0.4   \ 

      addlinespace

      Scaled & $lambda_1$ & -0.1 pm 0.6            & -2.2 pm 0.7            & 15.3  & 1     \     

      MCP    & $lambda_2$ & 1.3 pm 0.6             & -0.2 pm 0.5            & 3.2   & 1     \   

             & $lambda_3$ & 3.1 pm 0.7             & 0.9 pm 1.2             & 2.1   & 0.4   \

      addlinespace

      Scaled & $lambda_1$ & -0.1 pm 0.6            & -2.2 pm 0.7            & 15.3  & 1     \     

      SCAD   & $lambda_2$ & 1.3 pm 0.6             & -0.2 pm 0.5            & 3.2   & 1     \     

             & $lambda_3$ & 3.1 pm 0.7             & 0.9 pm 1.2             & 2.1   & 0.4   \

    end{tabular}

  end{table}

end{frame}



end{document}