Robust Covariance Estimation on Non-elliptical Laplace coordinates (ε = 0.1)
33.7Covariance ErrorOurs-MinUpper
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| Ours-MinUpperTime(s)=0.1932026.02 | 33.7 | 23.7 | 10.5 | |
| Ours-LepskiTime(s)=0.2842026.02 | 36.5 | 23.7 | 12.1 | |
| LedoitWolfTime(s)=0.1192026.02 | 545 | 60.7 | 376 | |
| TylerTime(s)=1.562026.02 | 1,100 | 23.8 | 911 | |
| KendallTauTime(s)=35.92026.02 | 1,200 | 29.6 | 974 | |
| MoM-EntryTime(s)=0.0442026.02 | 1,450 | 65.4 | 1,010 | |
| SCMTime(s)=0.02442026.02 | 2,030 | 60.7 | 1,440 |