Covariance Matrix Estimation on Expectile Model (d=20)
4.02Estimation Error (MSE)De-biased
Evaluation results
| Method | Links | ||
|---|---|---|---|
| De-biasedSample Size (n)=200000, Dimension (d)=202026.04 | 4.02 | 0.29 | |
| De-biasedSample Size (n)=100000, Dimension (d)=202026.04 | 4.53 | 0.39 | |
| De-biasedSample Size (n)=50000, Dimension (d)=202026.04 | 5.1 | 0.49 | |
| Online BMSample Size (n)=200000, Dimension (d)=202026.04 | 6.18 | 0.77 | |
| Online BMSample Size (n)=100000, Dimension (d)=202026.04 | 6.45 | 0.8 | |
| Online BMSample Size (n)=50000, Dimension (d)=202026.04 | 6.89 | 0.93 |