Table 3.
Comparison summaries using Entropy loss (EL) and Frobenius loss (FL) over 50 replications for Model 3.
| ρ = 0 | ρ = 0.25 | ||||
| EL | FL | EL | FL | ||
| Normal | CLIME | 3.62 (0.02) | 6.87 (0.03) | 3.92 (0.02) | 7.51 (0.04) |
| GLASSO | 2.60 (0.01) | 5.03 (0.03) | 3.03 (0.01) | 5.78 (0.03) | |
| JOINT | 2.53 (0.01) | 4.97 (0.02) | 2.99 (0.01) | 5.89 (0.03) | |
| FGL | 1.54 (0.01) | 2.95 (0.02) | 2.21 (0.01) | 4.16 (0.02) | |
| JEMP | 1.80 (0.01) | 3.61 (0.03) | 2.48 (0.01) | 4.96 (0.03) | |
| t (DF=5) | CLIME | 4.77 (0.17) | 8.68 (0.26) | 5.23 (0.19) | 9.63 (0.33) |
| GLASSO | 4.32 (0.09) | 8.42 (0.20) | 4.82 (0.09) | 9.11 (0.18) | |
| JOINT | 3.84 (0.12) | 7.02 (0.16) | 4.43 (0.15) | 8.10 (0.21) | |
| FGL | 2.54 (0.06) | 4.68 (0.10) | 3.11 (0.07) | 5.62 (0.10) | |
| JEMP | 2.60 (0.06) | 4.99 (0.11) | 3.35 (0.10) | 6.44 (0.18) | |
| t (DF=3) | CLIME | 9.08 (0.84) | 16.05 (1.07) | 9.40 (0.92) | 15.92 (1.06) |
| GLASSO | 10.64 (0.33) | 24.09 (1.06) | 11.14 (0.33) | 24.26 (1.01) | |
| JOINT | 7.54 (0.57) | 13.03 (0.87) | 8.35 (0.66) | 14.09 (0.89) | |
| FGL | 5.87 (0.26) | 11.39 (0.65) | 6.72 (0.30) | 12.53 (0.70) | |
| JEMP | 5.05 (0.37) | 10.10 (0.93) | 5.49 (0.30) | 10.44 (0.66) | |
| ρ = 1 | ρ = 4 | ||||
| EL | FL | EL | FL | ||
| Normal | CLIME | 4.33 (0.02) | 8.33 (0.03) | 4.03 (0.02) | 7.68 (0.03) |
| GLASSO | 3.52 (0.02) | 6.54 (0.03) | 3.00 (0.01) | 5.67 (0.03) | |
| JOINT | 3.50 (0.01) | 6.86 (0.02) | 2.94 (0.01) | 5.78 (0.02) | |
| FGL | 2.90 (0.01) | 5.37 (0.02) | 2.28 (0.01) | 4.28 (0.01) | |
| JEMP | 3.17 (0.01) | 6.40 (0.02) | 2.66 (0.01) | 5.40 (0.02) | |
| t (DF=5) | CLIME | 5.64 (0.16) | 10.31 (0.23) | 5.20 (0.17) | 9.42 (0.26) |
| GLASSO | 5.31 (0.09) | 9.81 (0.17) | 4.71 (0.09) | 8.93 (0.18) | |
| JOINT | 4.91 (0.11) | 9.09 (0.14) | 4.29 (0.12) | 7.86 (0.17) | |
| FGL | 3.66 (0.06) | 6.53 (0.10) | 2.98 (0.07) | 5.40 (0.10) | |
| JEMP | 3.93 (0.07) | 7.56 (0.12) | 3.27 (0.07) | 6.32 (0.14) | |
| t (DF=3) | CLIME | 10.00 (0.87) | 17.87 (1.16) | 9.36 (0.88) | 17.25 (1.26) |
| GLASSO | 11.60 (0.32) | 23.89 (0.97) | 10.89 (0.31) | 23.79 (0.99) | |
| JOINT | 9.52 (1.68) | 14.60 (1.27) | 7.57 (0.63) | 12.59 (0.71) | |
| FGL | 6.71 (0.24) | 11.84 (0.52) | 6.36 (0.26) | 11.87 (0.61) | |
| JEMP | 5.90 (0.26) | 11.02 (0.59) | 5.20 (0.26) | 9.70 (0.51) | |