Return-level estimation on 10 DGPs alpha = 0.01
2.46MAEQR (Koenker)
Evaluation results
| Method | Links | ||
|---|---|---|---|
| QR (Koenker)alpha=0.012026.05 | 2.46 | 17 | |
| Residual-PWM POTalpha=0.012026.05 | 2.54 | 18 | |
| Proposed Q_alpha(t)alpha=0.012026.05 | 2.71 | 13 |
| Method | Links | ||
|---|---|---|---|
| QR (Koenker)alpha=0.012026.05 | 2.46 | 17 | |
| Residual-PWM POTalpha=0.012026.05 | 2.54 | 18 | |
| Proposed Q_alpha(t)alpha=0.012026.05 | 2.71 | 13 |