Robust Covariance Estimation on Elliptical Student-t df=8 (ε=0.1)
0.346Covariance ErrorOurs-MinUpper
Evaluation results
| Method | Links | ||||
|---|---|---|---|---|---|
| Ours-MinUppercontamination level=0.1, df=82026.02 | 0.346 | 0.246 | 0.095 | 0.215 | |
| Ours-Lepskicontamination level=0.1, df=82026.02 | 0.434 | 0.239 | 0.221 | 0.274 | |
| LedoitWolfcontamination level=0.1, df=82026.02 | 6.26 | 0.59 | 4.43 | 0.0902 | |
| KendallTaucontamination level=0.1, df=82026.02 | 11.3 | 0.321 | 9.34 | 37.1 | |
| Tylercontamination level=0.1, df=82026.02 | 12.3 | 0.232 | 10.4 | 1.69 | |
| MoM-Entrycontamination level=0.1, df=82026.02 | 16.4 | 0.636 | 11.5 | 0.0461 | |
| SCMcontamination level=0.1, df=82026.02 | 21.1 | 0.59 | 15.3 | 0.0223 |