Robust Covariance Estimation on Elliptical Student-t df=8 (ε=0.0)
0.379CovErrKendallTau
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| KendallTauTime(s)=35.42026.02 | 0.379 | 0.251 | 0.123 | |
| Ours-MinUpperTime(s)=0.1962026.02 | 0.393 | 0.244 | 0.137 | |
| TylerTime(s)=1.542026.02 | 0.405 | 0.233 | 0.142 | |
| MoM-EntryTime(s)=0.04852026.02 | 0.419 | 0.276 | 0.126 | |
| LedoitWolfTime(s)=0.1332026.02 | 0.445 | 0.282 | 0.204 | |
| Ours-LepskiTime(s)=0.2812026.02 | 0.476 | 0.238 | 0.279 | |
| SCMTime(s)=0.0262026.02 | 0.498 | 0.282 | 0.152 |