Return-level estimation on 10 DGPs alpha = 0.001 (deep tail)
15MAEProposed Q_alpha(t)
Evaluation results
| Method | Links | ||
|---|---|---|---|
| Proposed Q_alpha(t)alpha=0.0012026.05 | 15 | 30 | |
| QR (Koenker)alpha=0.0012026.05 | 16.9 | 30 | |
| Residual-PWM POTalpha=0.0012026.05 | 20 | 31 |
| Method | Links | ||
|---|---|---|---|
| Proposed Q_alpha(t)alpha=0.0012026.05 | 15 | 30 | |
| QR (Koenker)alpha=0.0012026.05 | 16.9 | 30 | |
| Residual-PWM POTalpha=0.0012026.05 | 20 | 31 |