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Benchmarks
Robust Covariance Estimation on Non-elliptical Laplace coordinates ε = 0.05 (test)
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0.347
Covariance Error
Ours-MinUpper
-0.21112
3.55619
7.3235
11.09081
Feb 15, 2026
Covariance Error
Subspace Error
Eigenvalue Error
Updated 5d ago
Evaluation Results
Method
Method
Links
Covariance Error
Subspace Error
Eigenvalue Error
Ours-MinUpper
Time(s)=0.207
2026.02
0.347
0.237
0.098
Ours-Lepski
Time(s)=0.301
2026.02
0.366
0.237
0.121
LedoitWolf
Time(s)=0.107
2026.02
2.5
0.757
1.31
KendallTau
Time(s)=38.9
2026.02
5.15
0.306
3.94
Tyler
Time(s)=1.56
2026.02
6.08
0.237
4.9
MoM-Entry
Time(s)=0.0508
2026.02
7.67
0.78
4.79
SCM
Time(s)=0.0269
2026.02
14.3
0.757
9.3
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