Conditional Shortfall Estimation on DGP heteroskedastic n=100,000 oracle, n=3000 train (holdout)
6.56MAEProposed Ŝα
Evaluation results
| Method | Links | |
|---|---|---|
| Proposed Ŝαalpha=0.01, n=3000, seeds=52026.05 | 6.56 | |
| QR-avgalpha=0.01, n=3000, seeds=5, M=62026.05 | 8.12 |