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Robust Covariance Estimation on Non-elliptical Laplace coordinates (ε = 0.0)
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0.343
Covariance Error
Ours-MinUpper
0.33848
0.36899
0.3995
0.43001
Feb 15, 2026
Covariance Error
Subspace Error
Eigenvalue Error
Time (s)
Updated 1mo ago
Evaluation Results
Method
Method
Links
Covariance Error
Subspace Error
Eigenvalue Error
Time (s)
Ours-MinUpper
contamination level=0
2026.02
0.343
0.236
0.099
0.175
MoM-Entry
contamination level=0
2026.02
0.353
0.238
0.103
0.041
Tyler
contamination level=0
2026.02
0.358
0.237
0.106
1.57
SCM
contamination level=0
2026.02
0.365
0.237
0.104
0.0218
Ours-Lepski
contamination level=0
2026.02
0.372
0.236
0.13
0.251
LedoitWolf
contamination level=0
2026.02
0.427
0.237
0.222
0.0842
KendallTau
contamination level=0
2026.02
0.456
0.221
0.163
36.7
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