Covariance matrix estimation

Benchmarks

Dataset Name	SOTA Method	Metric
Block covariance structure	TOSA	Time (s)1.016	120	3mo ago
Expectile Model d = 5	De-biased	MSE1.51	6	3mo ago
Logistic Model d = 5	De-biased	Estimation Error (MSE)8.99	6	3mo ago
Linear Model d = 5	De-biased	MSE1.21	6	3mo ago
Expectile Model (d=20)	De-biased	Estimation Error (MSE)4.02	6	3mo ago
Logistic Model d=20	De-biased	Estimation Error (MSE)33.92	6	3mo ago
Linear Model d=20	De-biased	Estimation Error (MSE)3.82	6	3mo ago
Expectile Regression Model d=50	De-biased	Frobenius Error8.12	6	3mo ago
Logistic Regression Model d=50	De-biased	Estimation Error (Frobenius)92.78	6	3mo ago
Linear Regression Model d=50	De-biased	Estimation Error (\|\|Σn - Σ\|\|F)7.91	6	3mo ago
Toeplitz covariance structure ϱ = 0.9, p = 4000		Time (s)1.57	6	3mo ago
Toeplitz covariance structure ϱ = 0.7, p = 3000	LBO	Time (s)1.145	6	3mo ago
Toeplitz covariance structure ϱ = 0.5, p = 2000	TOSA	Time (s)1.97	6	3mo ago
Toeplitz covariance structure ϱ = 0.3, p = 4000		Computation Time (s)1.501	6	3mo ago
Toeplitz covariance structure (ϱ = 0.1, p = 2000)	LBO	Time (s)1.162	6	3mo ago
Toeplitz covariance structure ϱ = 0.1, p = 1000	LADMM	Time (s)1.757	6	3mo ago

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