Robust Covariance Estimation on Non-elliptical signed log-normal (sigma = 0.5) epsilon = 0.0
30.5Covariance ErrorOurs-MinUpper
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| Ours-MinUpperTime(s)=0.22026.02 | 30.5 | 22.8 | 9.54 | |
| Ours-LepskiTime(s)=0.2952026.02 | 33.1 | 22.9 | 8.91 | |
| MoM-EntryTime(s)=0.05342026.02 | 33.3 | 23.4 | 10.5 | |
| SCMTime(s)=0.02462026.02 | 34.3 | 22.7 | 11.3 | |
| TylerTime(s)=1.532026.02 | 35.1 | 23 | 11.3 | |
| LedoitWolfTime(s)=0.08662026.02 | 38.5 | 22.7 | 16.7 | |
| KendallTauTime(s)=36.72026.02 | 39.1 | 22.7 | 13.3 |