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Return-level estimation on 10 DGPs alpha = 0.01
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2.46
MAE
QR (Koenker)
2.45
2.5175
2.585
2.6525
May 26, 2026
MAE
Allocation Error
Updated 6d ago
Evaluation Results
Method
Method
Links
MAE
Allocation Error
QR (Koenker)
alpha=0.01
2026.05
2.46
17
Residual-PWM POT
alpha=0.01
2026.05
2.54
18
Proposed Q_alpha(t)
alpha=0.01
2026.05
2.71
13
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