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Robust Covariance Estimation on Elliptical Student-t df=8 (ε=0.1)
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0.346
Covariance Error
Ours-MinUpper
-0.48416
5.11942
10.723
16.32658
Feb 15, 2026
Covariance Error
Subspace Error
Eigenvalue Error
Computation Time (s)
Updated 5d ago
Evaluation Results
Method
Method
Links
Covariance Error
Subspace Error
Eigenvalue Error
Computation Time (s)
Ours-MinUpper
contamination level=0....
2026.02
0.346
0.246
0.095
0.215
Ours-Lepski
contamination level=0....
2026.02
0.434
0.239
0.221
0.274
LedoitWolf
contamination level=0....
2026.02
6.26
0.59
4.43
0.0902
KendallTau
contamination level=0....
2026.02
11.3
0.321
9.34
37.1
Tyler
contamination level=0....
2026.02
12.3
0.232
10.4
1.69
MoM-Entry
contamination level=0....
2026.02
16.4
0.636
11.5
0.0461
SCM
contamination level=0....
2026.02
21.1
0.59
15.3
0.0223
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