Robust Covariance Estimation on Non-elliptical signed log-normal sigma=0.5, epsilon=0.05 (test)
0.317Covariance ErrorOurs-MinUpper
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| Ours-MinUpperTime(s)=0.2022026.02 | 0.317 | 0.226 | 0.0978 | |
| Ours-LepskiTime(s)=0.2972026.02 | 0.323 | 0.227 | 0.0882 | |
| LedoitWolfTime(s)=0.08142026.02 | 2.29 | 0.708 | 1.32 | |
| KendallTauTime(s)=32.92026.02 | 5.21 | 0.316 | 4.05 | |
| TylerTime(s)=1.512026.02 | 6.57 | 0.228 | 5.54 | |
| MoM-EntryTime(s)=0.04882026.02 | 8.99 | 0.745 | 5.99 | |
| SCMTime(s)=0.02352026.02 | 13.3 | 0.708 | 9.55 |