Conditional Shortfall Estimation on DGP sinusoidal_heavytail n=100,000 oracle, n=3000 train (holdout)
3.83MAEProposed Ŝα
Evaluation results
| Method | Links | |
|---|---|---|
| Proposed Ŝαalpha=0.01, n=3000, seeds=52026.05 | 3.83 | |
| QR-avgalpha=0.01, n=3000, seeds=5, M=62026.05 | 5.09 |