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SOTA Return-level estimation benchmarks and papers with code | Wizwand
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Return-level estimation
Benchmarks
Dataset Name
SOTA Method
Dataset Name
SOTA Method
Metric
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10 DGPs alpha = 0.001 (deep tail)
Proposed Q_alpha(t)
MAE
15
3
6d ago
10 DGPs alpha = 0.01
QR (Koenker)
MAE
2.46
3
6d ago
freMTPL2 (downstream)
QR (Koenker)
MAE @ alpha=0.01
6.87
2
6d ago
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