Spiked covariance model
Benchmarks
TaskDatasetSOTA resultTrendResults
Spiked covariance model d/N = 0.9, noise = 1 synthetic (out-of-sample)
0.97Median MSE
196
Spiked covariance model N = 200
1.07Median OOS Random-X MSE
36
Spiked covariance model N=500 synthetic
1.15Median Out-of-Sample MSE
5
Spiked covariance model synthetic (N=100)
1.15Median Out-of-Sample MSE
5
Spiked covariance model N=20 synthetic
1.14Median Out-of-Sample MSE
5