${\Vert \widehat{\Sigma }-{\Sigma }^{\ast }\Vert }_F$

${\Vert \widehat{\Sigma }-{\Sigma }^{\ast }\Vert }_{L_1}$

${\Vert \widehat{\Lambda }-{\Lambda }^{\ast }\Vert }_F$

${\widehat{\lambda }}_{\min }$

m = 300

PG

1.6078^*

3.4490^*

1.4789

0.2035

SCP

2.6988

6.0893

2.3322

0.1534

SCM

2.4525

6.2447

1.8667

0.1284

m = 600

PG

0.8439^*

1.7238^*

0.7294

0.2624

SCP

1.0827

3.3386

0.4574^*

0.2801

SCM

1.1097

3.8014

0.6316

0.2177

m = 900

PG

0.7148^*

1.5025^*

0.5922

0.2952

SCP

1.1917

3.4460

0.6924

0.2700

SCM

1.1390

3.5757

0.4255^*

0.2394