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Conditional Shortfall Estimation on DGP regime_switch n=100,000 oracle, n=3000 train (holdout)
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6.86
MAE
Proposed Ŝα
6.7132
7.7041
8.695
9.6859
May 26, 2026
MAE
Updated 6d ago
Evaluation Results
Method
Method
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MAE
Proposed Ŝα
alpha=0.01, n=3000, se...
2026.05
6.86
QR-avg
alpha=0.01, n=3000, se...
2026.05
10.53
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