Covariance Estimation on Non-elliptical signed log-normal (σ = 0.5) ε = 0.1 (test)
0.329Covariance ErrorOurs-Lepski
Evaluation results
| Method | Links | ||||
|---|---|---|---|---|---|
| Ours-Lepski2026.02 | 0.329 | 0.231 | 0.0935 | 0.312 | |
| Ours-MinUpper2026.02 | 0.331 | 0.231 | 0.0999 | 0.204 | |
| LedoitWolf2026.02 | 4.88 | 0.604 | 3.48 | 0.107 | |
| KendallTau2026.02 | 11.1 | 0.304 | 9.14 | 33.9 | |
| Tyler2026.02 | 11.6 | 0.232 | 9.79 | 1.48 | |
| MoM-Entry2026.02 | 15.3 | 0.646 | 11.1 | 0.0462 | |
| SCM2026.02 | 18.7 | 0.604 | 14 | 0.0235 |