Covariance Estimation on Elliptical Gaussian (ε = 0.05)
0.325CovErrOurs-Lepski
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| Ours-LepskiTime(s)=0.2772026.02 | 0.325 | 0.23 | 0.0944 | |
| Ours-MinUpperTime(s)=0.2122026.02 | 0.336 | 0.23 | 0.101 | |
| LedoitWolfTime(s)=0.1122026.02 | 2.69 | 0.735 | 1.49 | |
| KendallTauTime(s)=37.92026.02 | 4.64 | 0.336 | 3.65 | |
| TylerTime(s)=1.812026.02 | 6.82 | 0.231 | 5.58 | |
| MoM-EntryTime(s)=0.04292026.02 | 8.07 | 0.762 | 5.45 | |
| SCMTime(s)=0.02582026.02 | 14.5 | 0.735 | 9.86 |