Covariance Estimation on Elliptical Student-t df=8 (ε=0.05)
0.352Covariance ErrorOurs-MinUpper
Evaluation results
| Method | Links | ||||
|---|---|---|---|---|---|
| Ours-MinUppercontamination_level=0.05, df=82026.02 | 0.352 | 0.241 | 0.114 | 0.182 | |
| Ours-Lepskicontamination_level=0.05, df=82026.02 | 0.45 | 0.233 | 0.255 | 0.268 | |
| LedoitWolfcontamination_level=0.05, df=82026.02 | 2.91 | 0.714 | 1.62 | 0.0798 | |
| KendallTaucontamination_level=0.05, df=82026.02 | 5.64 | 0.332 | 4.05 | 39.6 | |
| Tylercontamination_level=0.05, df=82026.02 | 6.23 | 0.229 | 5 | 1.67 | |
| MoM-Entrycontamination_level=0.05, df=82026.02 | 9.27 | 0.746 | 5.83 | 0.0399 | |
| SCMcontamination_level=0.05, df=82026.02 | 15.4 | 0.714 | 10.1 | 0.0245 |