. 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

Table 3.

Robustness of K. Design 2, estimation errors in spectral norm

p = 100

{\sum^{^}}_{u, K}^{T}

10.70

5.23

1.63

1.80

1.91

2.04

2.22

{({\sum^{^}}_{u, K}^{T})}^{- 1}

2.71

2.51

1.51

1.50

1.44

1.84

2.82

{\sum^{^}}_{K}^{- 1}

2.69

2.48

1.47

1.49

1.41

1.56

2.35

Σ̂_K

94.66

91.36

29.41

31.45

30.91

33.59

33.48

Σ^−1/2 Σ̂_K Σ^−1/2

17.37

10.04

2.05

2.83

2.94

2.95

2.93

p = 200

{\sum^{^}}_{u, K}^{T}

11.34

11.45

1.64

1.71

1.79

1.87

2.01

{({\sum^{^}}_{u, K}^{T})}^{- 1}

2.69

3.91

1.57

1.56

1.81

2.26

3.42

{\sum^{^}}_{K}^{- 1}

2.67

3.72

1.57

1.55

1.70

2.13

3.19

Σ̂_K

200.82

195.64

57.44

63.09

64.53

60.24

56.20

Σ^−1/2 Σ̂_K Σ^−1/2

20.86

14.22

3.29

4.52

4.72

4.69

4.76

p = 300

{\sum^{^}}_{u, K}^{T}

12.74

15.20

1.66

1.71

1.78

1.84

1.95

{({\sum^{^}}_{u, K}^{T})}^{- 1}

7.58

7.80

1.74

2.18

2.58

3.54

5.45

{\sum^{^}}_{K}^{- 1}

7.59

7.49

1.70

2.13

2.49

3.37

5.13

Σ̂_K

302.16

274.12

87.92

92.47

91.90

83.21

92.50

Σ^−1/2 Σ̂_K Σ^−1/2

23.43

16.89

4.38

6.04

6.16

6.14

6.20