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Covariance matrix estimation research benchmarks · SOTA2 Research

Covariance matrix estimation

Benchmarks

Dataset NameSOTA MethodSort

Dataset NameSOTA methodMetricTrendResultsLast Updated

Block covariance structure

1.016Time (s)

120

Mar 31, 2026

Expectile Model d = 5

1.51MSE

6

Apr 24, 2026

Logistic Model d = 5

8.99Estimation Error (MSE)

6

Apr 24, 2026

Linear Model d = 5

1.21MSE

6

Apr 24, 2026

Expectile Model (d=20)

4.02Estimation Error (MSE)

6

Apr 24, 2026

Logistic Model d=20

33.92Estimation Error (MSE)

6

Apr 24, 2026

Linear Model d=20

3.82Estimation Error (MSE)

6

Apr 24, 2026

Expectile Regression Model d=50

8.12Frobenius Error

6

Apr 24, 2026

Logistic Regression Model d=50

92.78Estimation Error (Frobenius)

6

Apr 24, 2026

Linear Regression Model d=50

7.91Estimation Error (||Σn - Σ||F)

6

Apr 24, 2026

Toeplitz covariance structure ϱ = 0.9, p = 4000

1.57Time (s)

6

Mar 31, 2026

Toeplitz covariance structure ϱ = 0.7, p = 3000

1.145Time (s)

6

Mar 31, 2026

Toeplitz covariance structure ϱ = 0.5, p = 2000

1.97Time (s)

6

Mar 31, 2026

Toeplitz covariance structure ϱ = 0.3, p = 4000

1.501Computation Time (s)

6

Mar 31, 2026

Toeplitz covariance structure (ϱ = 0.1, p = 2000)

1.162Time (s)

6

Mar 31, 2026

Toeplitz covariance structure ϱ = 0.1, p = 1000

1.757Time (s)

6

Mar 31, 2026

Popular datasets

Toeplitz covariance structure Logistic Model Linear Model Expectile Model Block covariance structure

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