Robust Covariance Estimation on Non-elliptical Laplace coordinates ε = 0.05 (test)
0.347Covariance ErrorOurs-MinUpper
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| Ours-MinUpperTime(s)=0.2072026.02 | 0.347 | 0.237 | 0.098 | |
| Ours-LepskiTime(s)=0.3012026.02 | 0.366 | 0.237 | 0.121 | |
| LedoitWolfTime(s)=0.1072026.02 | 2.5 | 0.757 | 1.31 | |
| KendallTauTime(s)=38.92026.02 | 5.15 | 0.306 | 3.94 | |
| TylerTime(s)=1.562026.02 | 6.08 | 0.237 | 4.9 | |
| MoM-EntryTime(s)=0.05082026.02 | 7.67 | 0.78 | 4.79 | |
| SCMTime(s)=0.02692026.02 | 14.3 | 0.757 | 9.3 |