Conditional Shortfall Estimation on DGP regime_switch n=100,000 oracle, n=3000 train (holdout)
6.86MAEProposed Ŝα
Evaluation results
| Method | Links | |
|---|---|---|
| Proposed Ŝαalpha=0.01, n=3000, seeds=52026.05 | 6.86 | |
| QR-avgalpha=0.01, n=3000, seeds=5, M=62026.05 | 10.53 |