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The quantiles of ||V̂jk||2,[−5,5] are displayed, for node pairs in ℰ̃ (11), ℰ̃c∩ supp(V), and ℰ̃c\supp(V), as a function of the time period T. Left: Results for Setting A. The estimated cross-covariances of node pairs in ℰ̃c\supp(V) and ℰ̃c ∩ supp(V) overlap. Center: Results for Setting B. The estimated cross-covariances of node pairs in ℰ̃ and ℰ̃c ∩ supp(V) overlap. Right: The color legend is displayed.
