Covariance Matrix Estimation on Linear Model d=20
3.82Estimation Error (MSE)De-biased
Evaluation results
| Method | Links | ||
|---|---|---|---|
| De-biasedSample Size (n)=200000, Dimension (d)=202026.04 | 3.82 | 0.33 | |
| De-biasedSample Size (n)=100000, Dimension (d)=202026.04 | 4.34 | 0.41 | |
| De-biasedSample Size (n)=50000, Dimension (d)=202026.04 | 4.96 | 0.52 | |
| Online BMSample Size (n)=200000, Dimension (d)=202026.04 | 5.66 | 0.74 | |
| Online BMSample Size (n)=100000, Dimension (d)=202026.04 | 5.95 | 0.82 | |
| Online BMSample Size (n)=50000, Dimension (d)=202026.04 | 6.51 | 0.95 |