Conditional Shortfall Estimation on DGP sinusoidal (clean) n=100,000 oracle, n=3000 train (holdout)
0.98MAEQR-avg
Evaluation results
| Method | Links | |
|---|---|---|
| QR-avgalpha=0.01, n=3000, seeds=5, M=62026.05 | 0.98 | |
| Proposed Ŝαalpha=0.01, n=3000, seeds=52026.05 | 1.54 |
| Method | Links | |
|---|---|---|
| QR-avgalpha=0.01, n=3000, seeds=5, M=62026.05 | 0.98 | |
| Proposed Ŝαalpha=0.01, n=3000, seeds=52026.05 | 1.54 |