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Benchmarks
Return-level estimation on freMTPL2 (downstream)
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6.87
MAE @ alpha=0.01
QR (Koenker)
6.8608
6.9229
6.985
7.0471
May 26, 2026
MAE @ alpha=0.01
MAE @ alpha=0.001
Updated 6d ago
Evaluation Results
Method
Method
Links
MAE @ alpha=0.01
MAE @ alpha=0.001
QR (Koenker)
ntrain=5000, resample...
2026.05
6.87
7.17
Residual-PWM POT
ntrain=5000, resample...
2026.05
7.1
6.14
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