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. Author manuscript; available in PMC: 2014 Mar 1.
Published in final edited form as: J R Stat Soc Series B Stat Methodol. 2013 Aug 12;75(4):10.1111/rssb.12016. doi: 10.1111/rssb.12016

Figure 5.

Figure 5

Averages of ||Σ̂ − Σ|| (left panel) and ||Σ−1/2Σ̂Σ−1/2 − Ip|| with known factors (Σ̂ = Σ̂obs solid red curve), POET (Σ̂= Σ̂K̂ ω solid blue curve), and sample covariance (Σ̂ = Σ̂sam dashed curve) over 200 simulations, as a function of the dimensionality p. The three curves are hardly distinguishable on the left panel.