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Benchmarks
Robust Covariance Estimation on Non-elliptical signed log-normal (sigma = 0.5) epsilon = 0.0
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30.5
Covariance Error
Ours-MinUpper
30.156
32.478
34.8
37.122
Feb 15, 2026
Covariance Error
Subspace Error
Eigenvalue Error
Updated 4d ago
Evaluation Results
Method
Method
Links
Covariance Error
Subspace Error
Eigenvalue Error
Ours-MinUpper
Time(s)=0.2
2026.02
30.5
22.8
9.54
Ours-Lepski
Time(s)=0.295
2026.02
33.1
22.9
8.91
MoM-Entry
Time(s)=0.0534
2026.02
33.3
23.4
10.5
SCM
Time(s)=0.0246
2026.02
34.3
22.7
11.3
Tyler
Time(s)=1.53
2026.02
35.1
23
11.3
LedoitWolf
Time(s)=0.0866
2026.02
38.5
22.7
16.7
KendallTau
Time(s)=36.7
2026.02
39.1
22.7
13.3
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