Covariance Estimation on Elliptical Gaussian (ε = 0.0) (synthetic)
0.33Covariance ErrorOurs-MinUpper
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| Ours-MinUpperTime(s)=0.172026.02 | 0.33 | 0.231 | 0.106 | |
| Ours-LepskiTime(s)=0.2412026.02 | 0.334 | 0.231 | 0.101 | |
| MoM-EntryTime(s)=0.04452026.02 | 0.374 | 0.239 | 0.113 | |
| SCMTime(s)=0.02092026.02 | 0.382 | 0.23 | 0.124 | |
| KendallTauTime(s)=38.62026.02 | 0.385 | 0.239 | 0.121 | |
| TylerTime(s)=1.582026.02 | 0.388 | 0.233 | 0.128 | |
| LedoitWolfTime(s)=0.1432026.02 | 0.392 | 0.23 | 0.163 |