Robust Covariance Estimation on Elliptical Gaussian ε = 0.1
0.303Covariance ErrorOurs-Lepski
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| Ours-LepskiTime(s)=0.315 (0.0116)2026.02 | 0.303 | 0.228 | 0.0993 | |
| Ours-MinUpperTime(s)=0.216 (0.0105)2026.02 | 0.337 | 0.228 | 0.107 | |
| LedoitWolfTime(s)=0.101 (0.0175)2026.02 | 6.69 | 0.602 | 4.36 | |
| KendallTauTime(s)=40.3 (2.51)2026.02 | 11.7 | 0.306 | 9.56 | |
| TylerTime(s)=1.87 (0.32)2026.02 | 12.7 | 0.23 | 10.7 | |
| MoM-EntryTime(s)=0.0459 (0.00536)2026.02 | 16.5 | 0.652 | 11 | |
| SCMTime(s)=0.023 (0.00207)2026.02 | 22.8 | 0.602 | 15 |