Conditional Shortfall Estimation on Aggregate All DGPs n=100,000 oracle, n=3000 train (holdout)
5.01MAEProposed Ŝα
Evaluation results
| Method | Links | ||
|---|---|---|---|
| Proposed Ŝαalpha=0.01, n=3000, seeds=52026.05 | 5.01 | -25.5 | |
| QR-avgalpha=0.01, n=3000, seeds=5, M=62026.05 | 6.73 | — |