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Covariance Matrix Estimation on Linear Regression Model d=50
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7.91
Estimation Error (||Σn - Σ||F)
De-biased
7.6516
9.3958
11.14
12.8842
Apr 23, 2026
Estimation Error (||Σn - Σ||F)
Updated 1mo ago
Evaluation Results
Method
Method
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Estimation Error (||Σn - Σ||F)
De-biased
n=500000
2026.04
7.91
De-biased
n=250000
2026.04
8.63
De-biased
n=125000
2026.04
9.96
Online BM
n=500000
2026.04
12.68
Online BM
n=250000
2026.04
13.31
Online BM
n=125000
2026.04
14.37
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