Robust Covariance Estimation on Non-elliptical Laplace coordinates (ε = 0.0)
0.343Covariance ErrorOurs-MinUpper
Evaluation results
| Method | Links | ||||
|---|---|---|---|---|---|
| Ours-MinUppercontamination level=02026.02 | 0.343 | 0.236 | 0.099 | 0.175 | |
| MoM-Entrycontamination level=02026.02 | 0.353 | 0.238 | 0.103 | 0.041 | |
| Tylercontamination level=02026.02 | 0.358 | 0.237 | 0.106 | 1.57 | |
| SCMcontamination level=02026.02 | 0.365 | 0.237 | 0.104 | 0.0218 | |
| Ours-Lepskicontamination level=02026.02 | 0.372 | 0.236 | 0.13 | 0.251 | |
| LedoitWolfcontamination level=02026.02 | 0.427 | 0.237 | 0.222 | 0.0842 | |
| KendallTaucontamination level=02026.02 | 0.456 | 0.221 | 0.163 | 36.7 |