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WP41: Gaussian-head ablation re-scored, final manuscript build

Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
Simon-Pierre Boucher committed (Nov 3, 2026) parent a19bfab Browse files

24 changed files +223 −192

24 changed files
Unified Split
modified docs/PHASE_7_REPORT.md +1 −1
@@ -21,7 +21,7 @@ calibration) for `main/test`, `main/test_heldout`, `final/final`, `final/final_h
21 | H5 economic content | median–realised correlation 0.003–0.025; net return at 1 bp cost 0.0 bp [−1.7, +1.8]; traded share < 4 % above 2.5 bp | **rejected** | 21 | H5 economic content | median–realised correlation 0.003–0.025; net return at 1 bp cost 0.0 bp [−1.7, +1.8]; traded share < 4 % above 2.5 bp | **rejected** |
22 Supplementary findings: model size irrelevant (Base vs Small p ≥ 0.1 everywhere); neural best at H = 5 (−1.2 … −1.9 % vs HAR), 22 Supplementary findings: model size irrelevant (Base vs Small p ≥ 0.1 everywhere); neural best at H = 5 (−1.2 … −1.9 % vs HAR),
23 HAR/ridge/LightGBM best at H ≥ 15 (+0.2 … +0.7 % against MRPT-S, 2024 and 2025); time-only inputs recover ≈ 90 % of the gain 23 HAR/ridge/LightGBM best at H ≥ 15 (+0.2 … +0.7 % against MRPT-S, 2024 and 2025); time-only inputs recover ≈ 90 % of the gain
24−over the random walk; shuffled minutes cost +0.13 … +0.21 %; ticker identity hurts (+0.05 … +0.31 %). 24+over the random walk; shuffled minutes cost +0.13 … +0.21 %; ticker identity hurts (+0.05 … +0.31 %); Gaussian head worse than Student-t by +0.20 … +0.32 % (re-scored after a sampling fix for ν = ∞).
25 25
26 ## Calibration 26 ## Calibration
27 Neural + GARCH/EWMA: nominal at 95 %, over-dispersed centre (50 % coverage 0.55–0.59). HAR/ridge/LightGBM: nominal from 27 Neural + GARCH/EWMA: nominal at 95 %, over-dispersed centre (50 % coverage 0.55–0.59). HAR/ridge/LightGBM: nominal from
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modified paper/results_macros.tex +36 −36
@@ -1566,14 +1566,14 @@
1566 \newcommand{\dmrelablationsmrptsmallcrosscrpsHthreezero}{-48.7} 1566 \newcommand{\dmrelablationsmrptsmallcrosscrpsHthreezero}{-48.7}
1567 \newcommand{\relablationsmrptsmallcrosscrpsHsixzero}{-4.29} 1567 \newcommand{\relablationsmrptsmallcrosscrpsHsixzero}{-4.29}
1568 \newcommand{\dmrelablationsmrptsmallcrosscrpsHsixzero}{-38.1} 1568 \newcommand{\dmrelablationsmrptsmallcrosscrpsHsixzero}{-38.1}
1569−\newcommand{\relablationsmrptsmallgaussiancrpsHfive}{+nan} 1569+\newcommand{\relablationsmrptsmallgaussiancrpsHfive}{-3.79}
1570−\newcommand{\dmrelablationsmrptsmallgaussiancrpsHfive}{nan} 1570+\newcommand{\dmrelablationsmrptsmallgaussiancrpsHfive}{-64.6}
1571−\newcommand{\relablationsmrptsmallgaussiancrpsHonefive}{+nan} 1571+\newcommand{\relablationsmrptsmallgaussiancrpsHonefive}{-3.89}
1572−\newcommand{\dmrelablationsmrptsmallgaussiancrpsHonefive}{nan} 1572+\newcommand{\dmrelablationsmrptsmallgaussiancrpsHonefive}{-63.7}
1573−\newcommand{\relablationsmrptsmallgaussiancrpsHthreezero}{+nan} 1573+\newcommand{\relablationsmrptsmallgaussiancrpsHthreezero}{-3.95}
1574−\newcommand{\dmrelablationsmrptsmallgaussiancrpsHthreezero}{nan} 1574+\newcommand{\dmrelablationsmrptsmallgaussiancrpsHthreezero}{-48.7}
1575−\newcommand{\relablationsmrptsmallgaussiancrpsHsixzero}{+nan} 1575+\newcommand{\relablationsmrptsmallgaussiancrpsHsixzero}{-4.15}
1576−\newcommand{\dmrelablationsmrptsmallgaussiancrpsHsixzero}{nan} 1576+\newcommand{\dmrelablationsmrptsmallgaussiancrpsHsixzero}{-38.4}
1577 \newcommand{\relablationsmrptsmalllearnedregimecrpsHfive}{-4.12} 1577 \newcommand{\relablationsmrptsmalllearnedregimecrpsHfive}{-4.12}
1578 \newcommand{\dmrelablationsmrptsmalllearnedregimecrpsHfive}{-68.5} 1578 \newcommand{\dmrelablationsmrptsmalllearnedregimecrpsHfive}{-68.5}
1579 \newcommand{\relablationsmrptsmalllearnedregimecrpsHonefive}{-4.20} 1579 \newcommand{\relablationsmrptsmalllearnedregimecrpsHonefive}{-4.20}
@@ -1710,14 +1710,14 @@
1710 \newcommand{\dmrelablationsmrptsmallcrosswisHthreezero}{-48.1} 1710 \newcommand{\dmrelablationsmrptsmallcrosswisHthreezero}{-48.1}
1711 \newcommand{\relablationsmrptsmallcrosswisHsixzero}{-4.50} 1711 \newcommand{\relablationsmrptsmallcrosswisHsixzero}{-4.50}
1712 \newcommand{\dmrelablationsmrptsmallcrosswisHsixzero}{-37.1} 1712 \newcommand{\dmrelablationsmrptsmallcrosswisHsixzero}{-37.1}
1713−\newcommand{\relablationsmrptsmallgaussianwisHfive}{+nan} 1713+\newcommand{\relablationsmrptsmallgaussianwisHfive}{-4.02}
1714−\newcommand{\dmrelablationsmrptsmallgaussianwisHfive}{nan} 1714+\newcommand{\dmrelablationsmrptsmallgaussianwisHfive}{-63.6}
1715−\newcommand{\relablationsmrptsmallgaussianwisHonefive}{+nan} 1715+\newcommand{\relablationsmrptsmallgaussianwisHonefive}{-4.12}
1716−\newcommand{\dmrelablationsmrptsmallgaussianwisHonefive}{nan} 1716+\newcommand{\dmrelablationsmrptsmallgaussianwisHonefive}{-63.0}
1717−\newcommand{\relablationsmrptsmallgaussianwisHthreezero}{+nan} 1717+\newcommand{\relablationsmrptsmallgaussianwisHthreezero}{-4.16}
1718−\newcommand{\dmrelablationsmrptsmallgaussianwisHthreezero}{nan} 1718+\newcommand{\dmrelablationsmrptsmallgaussianwisHthreezero}{-48.1}
1719−\newcommand{\relablationsmrptsmallgaussianwisHsixzero}{+nan} 1719+\newcommand{\relablationsmrptsmallgaussianwisHsixzero}{-4.36}
1720−\newcommand{\dmrelablationsmrptsmallgaussianwisHsixzero}{nan} 1720+\newcommand{\dmrelablationsmrptsmallgaussianwisHsixzero}{-37.5}
1721 \newcommand{\relablationsmrptsmalllearnedregimewisHfive}{-4.34} 1721 \newcommand{\relablationsmrptsmalllearnedregimewisHfive}{-4.34}
1722 \newcommand{\dmrelablationsmrptsmalllearnedregimewisHfive}{-67.6} 1722 \newcommand{\dmrelablationsmrptsmalllearnedregimewisHfive}{-67.6}
1723 \newcommand{\relablationsmrptsmalllearnedregimewisHonefive}{-4.42} 1723 \newcommand{\relablationsmrptsmalllearnedregimewisHonefive}{-4.42}
@@ -1854,14 +1854,14 @@
1854 \newcommand{\dmrelablationsmrptsmallcrossqlikeHthreezero}{-31.5} 1854 \newcommand{\dmrelablationsmrptsmallcrossqlikeHthreezero}{-31.5}
1855 \newcommand{\relablationsmrptsmallcrossqlikeHsixzero}{-13604618987866.28} 1855 \newcommand{\relablationsmrptsmallcrossqlikeHsixzero}{-13604618987866.28}
1856 \newcommand{\dmrelablationsmrptsmallcrossqlikeHsixzero}{-24.5} 1856 \newcommand{\dmrelablationsmrptsmallcrossqlikeHsixzero}{-24.5}
1857−\newcommand{\relablationsmrptsmallgaussianqlikeHfive}{+nan} 1857+\newcommand{\relablationsmrptsmallgaussianqlikeHfive}{-16196571515857.32}
1858−\newcommand{\dmrelablationsmrptsmallgaussianqlikeHfive}{nan} 1858+\newcommand{\dmrelablationsmrptsmallgaussianqlikeHfive}{-53.9}
1859−\newcommand{\relablationsmrptsmallgaussianqlikeHonefive}{+nan} 1859+\newcommand{\relablationsmrptsmallgaussianqlikeHonefive}{-15116387692219.17}
1860−\newcommand{\dmrelablationsmrptsmallgaussianqlikeHonefive}{nan} 1860+\newcommand{\dmrelablationsmrptsmallgaussianqlikeHonefive}{-43.7}
1861−\newcommand{\relablationsmrptsmallgaussianqlikeHthreezero}{+nan} 1861+\newcommand{\relablationsmrptsmallgaussianqlikeHthreezero}{-14177268697320.96}
1862−\newcommand{\dmrelablationsmrptsmallgaussianqlikeHthreezero}{nan} 1862+\newcommand{\dmrelablationsmrptsmallgaussianqlikeHthreezero}{-33.0}
1863−\newcommand{\relablationsmrptsmallgaussianqlikeHsixzero}{+nan} 1863+\newcommand{\relablationsmrptsmallgaussianqlikeHsixzero}{-13467432205260.08}
1864−\newcommand{\dmrelablationsmrptsmallgaussianqlikeHsixzero}{nan} 1864+\newcommand{\dmrelablationsmrptsmallgaussianqlikeHsixzero}{-26.2}
1865 \newcommand{\relablationsmrptsmalllearnedregimeqlikeHfive}{-15982022088717.06} 1865 \newcommand{\relablationsmrptsmalllearnedregimeqlikeHfive}{-15982022088717.06}
1866 \newcommand{\dmrelablationsmrptsmalllearnedregimeqlikeHfive}{-54.4} 1866 \newcommand{\dmrelablationsmrptsmalllearnedregimeqlikeHfive}{-54.4}
1867 \newcommand{\relablationsmrptsmalllearnedregimeqlikeHonefive}{-14939742152795.70} 1867 \newcommand{\relablationsmrptsmalllearnedregimeqlikeHonefive}{-14939742152795.70}
@@ -2026,18 +2026,18 @@
2026 \newcommand{\crpsablationsmrptsmallcrossHsixzero}{0.4190} 2026 \newcommand{\crpsablationsmrptsmallcrossHsixzero}{0.4190}
2027 \newcommand{\covfiftyablationsmrptsmallcrossHsixzero}{58} 2027 \newcommand{\covfiftyablationsmrptsmallcrossHsixzero}{58}
2028 \newcommand{\covninetyfiveablationsmrptsmallcrossHsixzero}{96.1} 2028 \newcommand{\covninetyfiveablationsmrptsmallcrossHsixzero}{96.1}
2029−\newcommand{\crpsablationsmrptsmallgaussianHfive}{nan} 2029+\newcommand{\crpsablationsmrptsmallgaussianHfive}{0.4546}
2030−\newcommand{\covfiftyablationsmrptsmallgaussianHfive}{0} 2030+\newcommand{\covfiftyablationsmrptsmallgaussianHfive}{57}
2031−\newcommand{\covninetyfiveablationsmrptsmallgaussianHfive}{0.0} 2031+\newcommand{\covninetyfiveablationsmrptsmallgaussianHfive}{95.4}
2032−\newcommand{\crpsablationsmrptsmallgaussianHonefive}{nan} 2032+\newcommand{\crpsablationsmrptsmallgaussianHonefive}{0.4424}
2033−\newcommand{\covfiftyablationsmrptsmallgaussianHonefive}{0} 2033+\newcommand{\covfiftyablationsmrptsmallgaussianHonefive}{57}
2034−\newcommand{\covninetyfiveablationsmrptsmallgaussianHonefive}{0.0} 2034+\newcommand{\covninetyfiveablationsmrptsmallgaussianHonefive}{95.8}
2035−\newcommand{\crpsablationsmrptsmallgaussianHthreezero}{nan} 2035+\newcommand{\crpsablationsmrptsmallgaussianHthreezero}{0.4320}
2036−\newcommand{\covfiftyablationsmrptsmallgaussianHthreezero}{0} 2036+\newcommand{\covfiftyablationsmrptsmallgaussianHthreezero}{58}
2037−\newcommand{\covninetyfiveablationsmrptsmallgaussianHthreezero}{0.0} 2037+\newcommand{\covninetyfiveablationsmrptsmallgaussianHthreezero}{96.0}
2038−\newcommand{\crpsablationsmrptsmallgaussianHsixzero}{nan} 2038+\newcommand{\crpsablationsmrptsmallgaussianHsixzero}{0.4195}
2039−\newcommand{\covfiftyablationsmrptsmallgaussianHsixzero}{0} 2039+\newcommand{\covfiftyablationsmrptsmallgaussianHsixzero}{58}
2040−\newcommand{\covninetyfiveablationsmrptsmallgaussianHsixzero}{0.0} 2040+\newcommand{\covninetyfiveablationsmrptsmallgaussianHsixzero}{96.1}
2041 \newcommand{\crpsablationsmrptsmalllearnedregimeHfive}{0.4531} 2041 \newcommand{\crpsablationsmrptsmalllearnedregimeHfive}{0.4531}
2042 \newcommand{\covfiftyablationsmrptsmalllearnedregimeHfive}{54} 2042 \newcommand{\covfiftyablationsmrptsmalllearnedregimeHfive}{54}
2043 \newcommand{\covninetyfiveablationsmrptsmalllearnedregimeHfive}{95.1} 2043 \newcommand{\covninetyfiveablationsmrptsmalllearnedregimeHfive}{95.1}
modified paper/tables/ablations_calibration.tex +1 −1
@@ -12,7 +12,7 @@ Seasonal volatility & 0.56 & 0.82 & 0.94 & 0.031 & 0.56 & 0.83 & 0.94 & 0.031 &
12 EWMA-$t$ & 0.54 & 0.83 & 0.97 & 0.023 & 0.54 & 0.84 & 0.97 & 0.024 & 0.55 & 0.85 & 0.97 & 0.028 & 0.56 & 0.86 & 0.97 & 0.034 \\ 12 EWMA-$t$ & 0.54 & 0.83 & 0.97 & 0.023 & 0.54 & 0.84 & 0.97 & 0.024 & 0.55 & 0.85 & 0.97 & 0.028 & 0.56 & 0.86 & 0.97 & 0.034 \\
13 MRPT-S (1m+5m) & 0.55 & 0.83 & 0.96 & 0.030 & 0.57 & 0.84 & 0.96 & 0.034 & 0.57 & 0.85 & 0.96 & 0.039 & 0.58 & 0.85 & 0.96 & 0.041 \\ 13 MRPT-S (1m+5m) & 0.55 & 0.83 & 0.96 & 0.030 & 0.57 & 0.84 & 0.96 & 0.034 & 0.57 & 0.85 & 0.96 & 0.039 & 0.58 & 0.85 & 0.96 & 0.041 \\
14 MRPT-S cross-attention fusion & 0.55 & 0.83 & 0.96 & 0.029 & 0.56 & 0.84 & 0.96 & 0.033 & 0.57 & 0.85 & 0.96 & 0.038 & 0.58 & 0.85 & 0.96 & 0.042 \\ 14 MRPT-S cross-attention fusion & 0.55 & 0.83 & 0.96 & 0.029 & 0.56 & 0.84 & 0.96 & 0.033 & 0.57 & 0.85 & 0.96 & 0.038 & 0.58 & 0.85 & 0.96 & 0.042 \\
15−MRPT-S Gaussian head & 0.00 & 0.00 & 0.00 & 0.995 & 0.00 & 0.00 & 0.00 & 0.995 & 0.00 & 0.00 & 0.00 & 0.995 & 0.00 & 0.00 & 0.00 & 0.995 \\ 15+MRPT-S Gaussian head & 0.57 & 0.84 & 0.95 & 0.037 & 0.57 & 0.85 & 0.96 & 0.038 & 0.58 & 0.85 & 0.96 & 0.040 & 0.58 & 0.85 & 0.96 & 0.044 \\
16 MRPT-S no regime & 0.54 & 0.83 & 0.95 & 0.027 & 0.56 & 0.84 & 0.96 & 0.031 & 0.57 & 0.84 & 0.96 & 0.035 & 0.58 & 0.85 & 0.96 & 0.039 \\ 16 MRPT-S no regime & 0.54 & 0.83 & 0.95 & 0.027 & 0.56 & 0.84 & 0.96 & 0.031 & 0.57 & 0.84 & 0.96 & 0.035 & 0.58 & 0.85 & 0.96 & 0.039 \\
17 MRPT-S learned regime & 0.54 & 0.82 & 0.95 & 0.021 & 0.55 & 0.83 & 0.95 & 0.029 & 0.56 & 0.84 & 0.96 & 0.035 & 0.57 & 0.84 & 0.96 & 0.040 \\ 17 MRPT-S learned regime & 0.54 & 0.82 & 0.95 & 0.021 & 0.55 & 0.83 & 0.95 & 0.029 & 0.56 & 0.84 & 0.96 & 0.035 & 0.57 & 0.84 & 0.96 & 0.040 \\
18 MRPT-S returns only & 0.56 & 0.84 & 0.96 & 0.034 & 0.57 & 0.85 & 0.96 & 0.041 & 0.58 & 0.86 & 0.96 & 0.045 & 0.59 & 0.86 & 0.96 & 0.049 \\ 18 MRPT-S returns only & 0.56 & 0.84 & 0.96 & 0.034 & 0.57 & 0.85 & 0.96 & 0.041 & 0.58 & 0.86 & 0.96 & 0.045 & 0.59 & 0.86 & 0.96 & 0.049 \\
modified paper/tables/ablations_compare_crps.tex +1 −1
@@ -10,7 +10,7 @@ Seasonal volatility & -2.89\% (-48.8) & -3.09\% (-49.9) & -3.22\% (-39.3) & -3.4
10 EWMA-$t$ & -3.65\% (-57.2) & -3.69\% (-53.4) & -3.60\% (-37.3) & -3.47\% (-25.5) \\ 10 EWMA-$t$ & -3.65\% (-57.2) & -3.69\% (-53.4) & -3.60\% (-37.3) & -3.47\% (-25.5) \\
11 MRPT-S (1m+5m) & -4.00\% (-65.8) & -4.01\% (-63.8) & -4.05\% (-48.4) & -4.24\% (-38.2) \\ 11 MRPT-S (1m+5m) & -4.00\% (-65.8) & -4.01\% (-63.8) & -4.05\% (-48.4) & -4.24\% (-38.2) \\
12 MRPT-S cross-attention fusion & -4.05\% (-66.0) & -4.08\% (-64.3) & -4.11\% (-48.7) & -4.29\% (-38.1) \\ 12 MRPT-S cross-attention fusion & -4.05\% (-66.0) & -4.08\% (-64.3) & -4.11\% (-48.7) & -4.29\% (-38.1) \\
13−MRPT-S Gaussian head & +nan\% (nan) & +nan\% (nan) & +nan\% (nan) & +nan\% (nan) \\ 13+MRPT-S Gaussian head & -3.79\% (-64.6) & -3.89\% (-63.7) & -3.95\% (-48.7) & -4.15\% (-38.4) \\
14 MRPT-S no regime & -4.07\% (-65.8) & -4.10\% (-63.9) & -4.13\% (-48.9) & -4.31\% (-38.9) \\ 14 MRPT-S no regime & -4.07\% (-65.8) & -4.10\% (-63.9) & -4.13\% (-48.9) & -4.31\% (-38.9) \\
15 MRPT-S learned regime & -4.12\% (-68.5) & -4.20\% (-67.1) & -4.26\% (-51.4) & -4.49\% (-40.0) \\ 15 MRPT-S learned regime & -4.12\% (-68.5) & -4.20\% (-67.1) & -4.26\% (-51.4) & -4.49\% (-40.0) \\
16 MRPT-S returns only & -3.92\% (-68.7) & -3.91\% (-66.5) & -3.93\% (-50.6) & -4.08\% (-39.3) \\ 16 MRPT-S returns only & -3.92\% (-68.7) & -3.91\% (-66.5) & -3.93\% (-50.6) & -4.08\% (-39.3) \\
modified paper/tables/ablations_compare_qlike.tex +1 −1
@@ -10,7 +10,7 @@ Seasonal volatility & -8472593190631.71\% (-26.5) & -8305269577503.39\% (-23.8)
10 EWMA-$t$ & -12797135612615.71\% (-41.9) & -10996225269347.05\% (-30.9) & -8956891977333.71\% (-18.6) & -6156613654049.44\% (-9.7) \\ 10 EWMA-$t$ & -12797135612615.71\% (-41.9) & -10996225269347.05\% (-30.9) & -8956891977333.71\% (-18.6) & -6156613654049.44\% (-9.7) \\
11 MRPT-S (1m+5m) & -16784744013233.53\% (-59.9) & -15622125901051.64\% (-46.0) & -14624940309040.50\% (-34.1) & -13851597366601.78\% (-26.2) \\ 11 MRPT-S (1m+5m) & -16784744013233.53\% (-59.9) & -15622125901051.64\% (-46.0) & -14624940309040.50\% (-34.1) & -13851597366601.78\% (-26.2) \\
12 MRPT-S cross-attention fusion & -16477620786066.72\% (-56.7) & -15395434686456.88\% (-42.1) & -14397167048267.78\% (-31.5) & -13604618987866.28\% (-24.5) \\ 12 MRPT-S cross-attention fusion & -16477620786066.72\% (-56.7) & -15395434686456.88\% (-42.1) & -14397167048267.78\% (-31.5) & -13604618987866.28\% (-24.5) \\
13−MRPT-S Gaussian head & +nan\% (nan) & +nan\% (nan) & +nan\% (nan) & +nan\% (nan) \\ 13+MRPT-S Gaussian head & -16196571515857.32\% (-53.9) & -15116387692219.17\% (-43.7) & -14177268697320.96\% (-33.0) & -13467432205260.08\% (-26.2) \\
14 MRPT-S no regime & -16629184340488.87\% (-56.0) & -15488419278646.12\% (-40.1) & -14484665919159.43\% (-30.4) & -13734597152600.11\% (-24.6) \\ 14 MRPT-S no regime & -16629184340488.87\% (-56.0) & -15488419278646.12\% (-40.1) & -14484665919159.43\% (-30.4) & -13734597152600.11\% (-24.6) \\
15 MRPT-S learned regime & -15982022088717.06\% (-54.4) & -14939742152795.70\% (-35.5) & -13982332706927.23\% (-26.5) & -13221064495583.95\% (-20.5) \\ 15 MRPT-S learned regime & -15982022088717.06\% (-54.4) & -14939742152795.70\% (-35.5) & -13982332706927.23\% (-26.5) & -13221064495583.95\% (-20.5) \\
16 MRPT-S returns only & -15515037879753.99\% (-54.3) & -14390965004586.04\% (-43.5) & -13413503383533.83\% (-32.7) & -12530275872494.17\% (-25.1) \\ 16 MRPT-S returns only & -15515037879753.99\% (-54.3) & -14390965004586.04\% (-43.5) & -13413503383533.83\% (-32.7) & -12530275872494.17\% (-25.1) \\
modified paper/tables/ablations_compare_wis.tex +1 −1
@@ -10,7 +10,7 @@ Seasonal volatility & -3.00\% (-46.4) & -3.20\% (-47.8) & -3.33\% (-37.8) & -3.5
10 EWMA-$t$ & -3.75\% (-54.5) & -3.75\% (-50.4) & -3.60\% (-34.8) & -3.40\% (-23.3) \\ 10 EWMA-$t$ & -3.75\% (-54.5) & -3.75\% (-50.4) & -3.60\% (-34.8) & -3.40\% (-23.3) \\
11 MRPT-S (1m+5m) & -4.23\% (-64.8) & -4.24\% (-63.1) & -4.26\% (-47.9) & -4.45\% (-37.3) \\ 11 MRPT-S (1m+5m) & -4.23\% (-64.8) & -4.24\% (-63.1) & -4.26\% (-47.9) & -4.45\% (-37.3) \\
12 MRPT-S cross-attention fusion & -4.28\% (-65.0) & -4.31\% (-63.5) & -4.32\% (-48.1) & -4.50\% (-37.1) \\ 12 MRPT-S cross-attention fusion & -4.28\% (-65.0) & -4.31\% (-63.5) & -4.32\% (-48.1) & -4.50\% (-37.1) \\
13−MRPT-S Gaussian head & +nan\% (nan) & +nan\% (nan) & +nan\% (nan) & +nan\% (nan) \\ 13+MRPT-S Gaussian head & -4.02\% (-63.6) & -4.12\% (-63.0) & -4.16\% (-48.1) & -4.36\% (-37.5) \\
14 MRPT-S no regime & -4.31\% (-64.5) & -4.33\% (-62.9) & -4.35\% (-48.2) & -4.52\% (-37.9) \\ 14 MRPT-S no regime & -4.31\% (-64.5) & -4.33\% (-62.9) & -4.35\% (-48.2) & -4.52\% (-37.9) \\
15 MRPT-S learned regime & -4.34\% (-67.6) & -4.42\% (-66.3) & -4.47\% (-50.6) & -4.69\% (-38.8) \\ 15 MRPT-S learned regime & -4.34\% (-67.6) & -4.42\% (-66.3) & -4.47\% (-50.6) & -4.69\% (-38.8) \\
16 MRPT-S returns only & -4.14\% (-67.9) & -4.14\% (-66.1) & -4.14\% (-50.3) & -4.28\% (-38.8) \\ 16 MRPT-S returns only & -4.14\% (-67.9) & -4.14\% (-66.1) & -4.14\% (-50.3) & -4.28\% (-38.8) \\
modified paper/tables/ablations_crps_scaled.tex +1 −1
@@ -11,7 +11,7 @@ Seasonal volatility & 0.4582 {\scriptsize[0.4527, 0.4641]} & 0.4453 {\scriptsize
11 EWMA-$t$ & 0.4547 {\scriptsize[0.4492, 0.4606]} & 0.4425 {\scriptsize[0.4363, 0.4491]} & 0.4326 {\scriptsize[0.4264, 0.4396]} & 0.4214 {\scriptsize[0.4133, 0.4314]} \\ 11 EWMA-$t$ & 0.4547 {\scriptsize[0.4492, 0.4606]} & 0.4425 {\scriptsize[0.4363, 0.4491]} & 0.4326 {\scriptsize[0.4264, 0.4396]} & 0.4214 {\scriptsize[0.4133, 0.4314]} \\
12 MRPT-S (1m+5m) & 0.4537 {\scriptsize[0.4482, 0.4596]} & 0.4418 {\scriptsize[0.4355, 0.4483]} & 0.4316 {\scriptsize[0.4253, 0.4384]} & 0.4191 {\scriptsize[0.4110, 0.4289]} \\ 12 MRPT-S (1m+5m) & 0.4537 {\scriptsize[0.4482, 0.4596]} & 0.4418 {\scriptsize[0.4355, 0.4483]} & 0.4316 {\scriptsize[0.4253, 0.4384]} & 0.4191 {\scriptsize[0.4110, 0.4289]} \\
13 MRPT-S cross-attention fusion & 0.4535 {\scriptsize[0.4480, 0.4594]} & 0.4416 {\scriptsize[0.4353, 0.4481]} & 0.4313 {\scriptsize[0.4251, 0.4382]} & 0.4190 {\scriptsize[0.4109, 0.4288]} \\ 13 MRPT-S cross-attention fusion & 0.4535 {\scriptsize[0.4480, 0.4594]} & 0.4416 {\scriptsize[0.4353, 0.4481]} & 0.4313 {\scriptsize[0.4251, 0.4382]} & 0.4190 {\scriptsize[0.4109, 0.4288]} \\
14−MRPT-S Gaussian head & nan & nan & nan & nan \\ 14+MRPT-S Gaussian head & 0.4546 {\scriptsize[0.4492, 0.4606]} & 0.4424 {\scriptsize[0.4361, 0.4489]} & 0.4320 {\scriptsize[0.4258, 0.4389]} & 0.4195 {\scriptsize[0.4115, 0.4292]} \\
15 MRPT-S no regime & 0.4534 {\scriptsize[0.4479, 0.4593]} & 0.4414 {\scriptsize[0.4352, 0.4480]} & 0.4312 {\scriptsize[0.4249, 0.4380]} & 0.4188 {\scriptsize[0.4107, 0.4286]} \\ 15 MRPT-S no regime & 0.4534 {\scriptsize[0.4479, 0.4593]} & 0.4414 {\scriptsize[0.4352, 0.4480]} & 0.4312 {\scriptsize[0.4249, 0.4380]} & 0.4188 {\scriptsize[0.4107, 0.4286]} \\
16 MRPT-S learned regime & 0.4531 {\scriptsize[0.4476, 0.4591]} & 0.4410 {\scriptsize[0.4347, 0.4476]} & 0.4306 {\scriptsize[0.4243, 0.4376]} & 0.4182 {\scriptsize[0.4100, 0.4281]} \\ 16 MRPT-S learned regime & 0.4531 {\scriptsize[0.4476, 0.4591]} & 0.4410 {\scriptsize[0.4347, 0.4476]} & 0.4306 {\scriptsize[0.4243, 0.4376]} & 0.4182 {\scriptsize[0.4100, 0.4281]} \\
17 MRPT-S returns only & 0.4542 {\scriptsize[0.4487, 0.4601]} & 0.4424 {\scriptsize[0.4362, 0.4489]} & 0.4322 {\scriptsize[0.4260, 0.4392]} & 0.4201 {\scriptsize[0.4119, 0.4299]} \\ 17 MRPT-S returns only & 0.4542 {\scriptsize[0.4487, 0.4601]} & 0.4424 {\scriptsize[0.4362, 0.4489]} & 0.4322 {\scriptsize[0.4260, 0.4392]} & 0.4201 {\scriptsize[0.4119, 0.4299]} \\
added paper/tables/ablations_gaussian_note.tex +1 −0
@@ -0,0 +1 @@
1+worse than the Student-$t$ head by $+0.32$\,\% of CRPS at five minutes and $+0.20$\,\% at sixty minutes ($t=26$ and $7.9$, Holm $p<10^{-14}$): the heavy tail is one of the few things the data reward unambiguously
modified paper/tables/ablations_qlike.tex +1 −1
@@ -11,7 +11,7 @@ Seasonal volatility & -12.3858 {\scriptsize[-12.4188, -12.3489]} & -11.3268 {\sc
11 EWMA-$t$ & -12.4291 {\scriptsize[-12.4603, -12.3927]} & -11.3537 {\scriptsize[-11.3907, -11.3114]} & -10.6715 {\scriptsize[-10.7094, -10.6265]} & -9.9930 {\scriptsize[-10.0339, -9.9413]} \\ 11 EWMA-$t$ & -12.4291 {\scriptsize[-12.4603, -12.3927]} & -11.3537 {\scriptsize[-11.3907, -11.3114]} & -10.6715 {\scriptsize[-10.7094, -10.6265]} & -9.9930 {\scriptsize[-10.0339, -9.9413]} \\
12 MRPT-S (1m+5m) & -12.4690 {\scriptsize[-12.5009, -12.4318]} & -11.4000 {\scriptsize[-11.4375, -11.3573]} & -10.7281 {\scriptsize[-10.7670, -10.6828]} & -10.0699 {\scriptsize[-10.1099, -10.0187]} \\ 12 MRPT-S (1m+5m) & -12.4690 {\scriptsize[-12.5009, -12.4318]} & -11.4000 {\scriptsize[-11.4375, -11.3573]} & -10.7281 {\scriptsize[-10.7670, -10.6828]} & -10.0699 {\scriptsize[-10.1099, -10.0187]} \\
13 MRPT-S cross-attention fusion & -12.4659 {\scriptsize[-12.4982, -12.4286]} & -11.3977 {\scriptsize[-11.4361, -11.3541]} & -10.7259 {\scriptsize[-10.7649, -10.6794]} & -10.0674 {\scriptsize[-10.1082, -10.0153]} \\ 13 MRPT-S cross-attention fusion & -12.4659 {\scriptsize[-12.4982, -12.4286]} & -11.3977 {\scriptsize[-11.4361, -11.3541]} & -10.7259 {\scriptsize[-10.7649, -10.6794]} & -10.0674 {\scriptsize[-10.1082, -10.0153]} \\
14−MRPT-S Gaussian head & nan & nan & nan & nan \\ 14+MRPT-S Gaussian head & -12.4631 {\scriptsize[-12.4946, -12.4260]} & -11.3949 {\scriptsize[-11.4319, -11.3524]} & -10.7237 {\scriptsize[-10.7621, -10.6786]} & -10.0661 {\scriptsize[-10.1059, -10.0160]} \\
15 MRPT-S no regime & -12.4674 {\scriptsize[-12.4997, -12.4303]} & -11.3986 {\scriptsize[-11.4372, -11.3546]} & -10.7267 {\scriptsize[-10.7657, -10.6799]} & -10.0687 {\scriptsize[-10.1093, -10.0164]} \\ 15 MRPT-S no regime & -12.4674 {\scriptsize[-12.4997, -12.4303]} & -11.3986 {\scriptsize[-11.4372, -11.3546]} & -10.7267 {\scriptsize[-10.7657, -10.6799]} & -10.0687 {\scriptsize[-10.1093, -10.0164]} \\
16 MRPT-S learned regime & -12.4609 {\scriptsize[-12.4934, -12.4238]} & -11.3932 {\scriptsize[-11.4324, -11.3482]} & -10.7217 {\scriptsize[-10.7610, -10.6728]} & -10.0636 {\scriptsize[-10.1055, -10.0090]} \\ 16 MRPT-S learned regime & -12.4609 {\scriptsize[-12.4934, -12.4238]} & -11.3932 {\scriptsize[-11.4324, -11.3482]} & -10.7217 {\scriptsize[-10.7610, -10.6728]} & -10.0636 {\scriptsize[-10.1055, -10.0090]} \\
17 MRPT-S returns only & -12.4563 {\scriptsize[-12.4874, -12.4197]} & -11.3877 {\scriptsize[-11.4243, -11.3451]} & -10.7160 {\scriptsize[-10.7545, -10.6711]} & -10.0567 {\scriptsize[-10.0960, -10.0073]} \\ 17 MRPT-S returns only & -12.4563 {\scriptsize[-12.4874, -12.4197]} & -11.3877 {\scriptsize[-11.4243, -11.3451]} & -10.7160 {\scriptsize[-10.7545, -10.6711]} & -10.0567 {\scriptsize[-10.0960, -10.0073]} \\
modified paper/tables/ablations_wis.tex +1 −1
@@ -11,7 +11,7 @@ Seasonal volatility & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize
11 EWMA-$t$ & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0024]} \\ 11 EWMA-$t$ & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0024]} \\
12 MRPT-S (1m+5m) & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\ 12 MRPT-S (1m+5m) & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\
13 MRPT-S cross-attention fusion & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\ 13 MRPT-S cross-attention fusion & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\
14−MRPT-S Gaussian head & nan & nan & nan & nan \\ 14+MRPT-S Gaussian head & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\
15 MRPT-S no regime & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\ 15 MRPT-S no regime & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\
16 MRPT-S learned regime & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\ 16 MRPT-S learned regime & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\
17 MRPT-S returns only & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\ 17 MRPT-S returns only & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\
modified results/metrics/ablations/compare_crps_vs_naive_rw_test.csv +4 −4
@@ -27,10 +27,10 @@ mrpt_small_cross,naive_rw,crps,5,-3.346880485083706e-05,-3.508724796895195e-05,-
27 mrpt_small_cross,naive_rw,crps,15,-5.672767329205866e-05,-5.9752664325607654e-05,-5.39093532206813e-05,-64.26191094463019,0.0,240,986468,-0.04075494263551793 27 mrpt_small_cross,naive_rw,crps,15,-5.672767329205866e-05,-5.9752664325607654e-05,-5.39093532206813e-05,-64.26191094463019,0.0,240,986468,-0.04075494263551793
28 mrpt_small_cross,naive_rw,crps,30,-7.887381292878603e-05,-8.322364976901495e-05,-7.460064481022554e-05,-48.733832154417804,0.0,480,986468,-0.04107601564029644 28 mrpt_small_cross,naive_rw,crps,30,-7.887381292878603e-05,-8.322364976901495e-05,-7.460064481022554e-05,-48.733832154417804,0.0,480,986468,-0.04107601564029644
29 mrpt_small_cross,naive_rw,crps,60,-0.00011315700632974328,-0.0001199663801897961,-0.00010616691407676995,-38.10424913604344,0.0,960,986468,-0.04292530563262617 29 mrpt_small_cross,naive_rw,crps,60,-0.00011315700632974328,-0.0001199663801897961,-0.00010616691407676995,-38.10424913604344,0.0,960,986468,-0.04292530563262617
30−mrpt_small_gaussian,naive_rw,crps,5,,,,,,240,986468, 30+mrpt_small_gaussian,naive_rw,crps,5,-3.129753259373673e-05,-3.2837984076015775e-05,-2.9779634677368858e-05,-64.6162828835174,0.0,240,986468,-0.037853863866797226
31−mrpt_small_gaussian,naive_rw,crps,15,,,,,,240,986468, 31+mrpt_small_gaussian,naive_rw,crps,15,-5.41567742046628e-05,-5.6883126030544945e-05,-5.1429181090926256e-05,-63.71264605637342,0.0,240,986468,-0.038907927964405176
32−mrpt_small_gaussian,naive_rw,crps,30,,,,,,480,986468, 32+mrpt_small_gaussian,naive_rw,crps,30,-7.582022728373352e-05,-7.974557492906802e-05,-7.17660321081644e-05,-48.682745708445495,0.0,480,986468,-0.03948576499743212
33−mrpt_small_gaussian,naive_rw,crps,60,,,,,,960,986468, 33+mrpt_small_gaussian,naive_rw,crps,60,-0.00010934951667198325,-0.00011576015076703178,-0.000102714848863336,-38.43192232673259,0.0,960,986468,-0.04148096150800211
34 mrpt_small_learnedregime,naive_rw,crps,5,-3.4075859126643384e-05,-3.572871263268748e-05,-3.2536812636301554e-05,-68.53042667983499,0.0,240,986468,-0.0412142052623744 34 mrpt_small_learnedregime,naive_rw,crps,5,-3.4075859126643384e-05,-3.572871263268748e-05,-3.2536812636301554e-05,-68.53042667983499,0.0,240,986468,-0.0412142052623744
35 mrpt_small_learnedregime,naive_rw,crps,15,-5.842651113060003e-05,-6.130304309341815e-05,-5.567796621123442e-05,-67.14989022879111,0.0,240,986468,-0.04197544110899389 35 mrpt_small_learnedregime,naive_rw,crps,15,-5.842651113060003e-05,-6.130304309341815e-05,-5.567796621123442e-05,-67.14989022879111,0.0,240,986468,-0.04197544110899389
36 mrpt_small_learnedregime,naive_rw,crps,30,-8.189350546633742e-05,-8.601545439155075e-05,-7.782296263982141e-05,-51.4412179925752,0.0,480,986468,-0.04264861538279067 36 mrpt_small_learnedregime,naive_rw,crps,30,-8.189350546633742e-05,-8.601545439155075e-05,-7.782296263982141e-05,-51.4412179925752,0.0,480,986468,-0.04264861538279067
modified results/metrics/ablations/compare_qlike_vs_naive_rw_test.csv +4 −4
@@ -27,10 +27,10 @@ mrpt_small_cross,naive_rw,qlike,5,-0.16477620786066718,-0.17312175591815482,-0.1
27 mrpt_small_cross,naive_rw,qlike,15,-0.1539543468645688,-0.16248564218753306,-0.14357609404164498,-42.135624667004734,0.0,240,986468,-153954346864.5688 27 mrpt_small_cross,naive_rw,qlike,15,-0.1539543468645688,-0.16248564218753306,-0.14357609404164498,-42.135624667004734,0.0,240,986468,-153954346864.5688
28 mrpt_small_cross,naive_rw,qlike,30,-0.14397167048267775,-0.15362935372705308,-0.1321954200347388,-31.542851995542794,0.0,480,986468,-143971670482.67776 28 mrpt_small_cross,naive_rw,qlike,30,-0.14397167048267775,-0.15362935372705308,-0.1321954200347388,-31.542851995542794,0.0,480,986468,-143971670482.67776
29 mrpt_small_cross,naive_rw,qlike,60,-0.13604618987866277,-0.14724280878631701,-0.12228341873746501,-24.531393081495548,0.0,960,986468,-136046189878.66277 29 mrpt_small_cross,naive_rw,qlike,60,-0.13604618987866277,-0.14724280878631701,-0.12228341873746501,-24.531393081495548,0.0,960,986468,-136046189878.66277
30−mrpt_small_gaussian,naive_rw,qlike,5,,,,,,240,986468, 30+mrpt_small_gaussian,naive_rw,qlike,5,-0.16196571515857325,-0.1703743912994717,-0.15415461307229134,-53.906723592704715,0.0,240,986468,-161965715158.57324
31−mrpt_small_gaussian,naive_rw,qlike,15,,,,,,240,986468, 31+mrpt_small_gaussian,naive_rw,qlike,15,-0.15116387692219171,-0.15910253597991833,-0.14166964189769404,-43.7193220339886,0.0,240,986468,-151163876922.1917
32−mrpt_small_gaussian,naive_rw,qlike,30,,,,,,480,986468, 32+mrpt_small_gaussian,naive_rw,qlike,30,-0.14177268697320955,-0.15066473180186546,-0.13060484735365205,-33.02616631195415,0.0,480,986468,-141772686973.20956
33−mrpt_small_gaussian,naive_rw,qlike,60,,,,,,960,986468, 33+mrpt_small_gaussian,naive_rw,qlike,60,-0.13467432205260083,-0.1449802069903284,-0.12202489650431203,-26.155124587117694,0.0,960,986468,-134674322052.60083
34 mrpt_small_learnedregime,naive_rw,qlike,5,-0.15982022088717057,-0.16826331336842823,-0.1516204971393463,-54.438374652776496,0.0,240,986468,-159820220887.17056 34 mrpt_small_learnedregime,naive_rw,qlike,5,-0.15982022088717057,-0.16826331336842823,-0.1516204971393463,-54.438374652776496,0.0,240,986468,-159820220887.17056
35 mrpt_small_learnedregime,naive_rw,qlike,15,-0.14939742152795704,-0.15885014273372114,-0.13761892745992327,-35.53318479571205,0.0,240,986468,-149397421527.95703 35 mrpt_small_learnedregime,naive_rw,qlike,15,-0.14939742152795704,-0.15885014273372114,-0.13761892745992327,-35.53318479571205,0.0,240,986468,-149397421527.95703
36 mrpt_small_learnedregime,naive_rw,qlike,30,-0.13982332706927228,-0.15065781529445194,-0.1259467745567129,-26.54257299841241,0.0,480,986468,-139823327069.27228 36 mrpt_small_learnedregime,naive_rw,qlike,30,-0.13982332706927228,-0.15065781529445194,-0.1259467745567129,-26.54257299841241,0.0,480,986468,-139823327069.27228
modified results/metrics/ablations/compare_wis_vs_naive_rw_test.csv +4 −4
@@ -27,10 +27,10 @@ mrpt_small_cross,naive_rw,wis,5,-3.1942558241181925e-05,-3.351792062722038e-05,-
27 mrpt_small_cross,naive_rw,wis,15,-5.410304031621038e-05,-5.695162913094711e-05,-5.1397861868403044e-05,-63.51231703205074,0.0,240,986468,-0.043077925028405885 27 mrpt_small_cross,naive_rw,wis,15,-5.410304031621038e-05,-5.695162913094711e-05,-5.1397861868403044e-05,-63.51231703205074,0.0,240,986468,-0.043077925028405885
28 mrpt_small_cross,naive_rw,wis,30,-7.486811989318987e-05,-7.905966285496752e-05,-7.069167251326433e-05,-48.07851627407367,0.0,480,986468,-0.04321442169364964 28 mrpt_small_cross,naive_rw,wis,30,-7.486811989318987e-05,-7.905966285496752e-05,-7.069167251326433e-05,-48.07851627407367,0.0,480,986468,-0.04321442169364964
29 mrpt_small_cross,naive_rw,wis,60,-0.0001070474705400264,-0.00011368333006058225,-0.00010024872907216215,-37.14454412348745,0.0,960,986468,-0.0450022290853798 29 mrpt_small_cross,naive_rw,wis,60,-0.0001070474705400264,-0.00011368333006058225,-0.00010024872907216215,-37.14454412348745,0.0,960,986468,-0.0450022290853798
30−mrpt_small_gaussian,naive_rw,wis,5,,,,,,240,986468, 30+mrpt_small_gaussian,naive_rw,wis,5,-3.0020801838014528e-05,-3.148194134618332e-05,-2.8563049857887767e-05,-63.61563922127287,0.0,240,986468,-0.04023350837219168
31−mrpt_small_gaussian,naive_rw,wis,15,,,,,,240,986468, 31+mrpt_small_gaussian,naive_rw,wis,15,-5.180659476330467e-05,-5.4375098432479656e-05,-4.9234826417159745e-05,-63.047805899256325,0.0,240,986468,-0.04124944905401138
32−mrpt_small_gaussian,naive_rw,wis,30,,,,,,480,986468, 32+mrpt_small_gaussian,naive_rw,wis,30,-7.211466015082323e-05,-7.587022521125988e-05,-6.822382206952081e-05,-48.09740749582545,0.0,480,986468,-0.04162510476418921
33−mrpt_small_gaussian,naive_rw,wis,60,,,,,,960,986468, 33+mrpt_small_gaussian,naive_rw,wis,60,-0.0001036124486518145,-0.00010982631041429235,-9.726520315679125e-05,-37.53045604442216,0.0,960,986468,-0.04355816281135415
34 mrpt_small_learnedregime,naive_rw,wis,5,-3.236751947587548e-05,-3.392986625934793e-05,-3.08904058128532e-05,-67.56088402229614,0.0,240,986468,-0.04337855040802735 34 mrpt_small_learnedregime,naive_rw,wis,5,-3.236751947587548e-05,-3.392986625934793e-05,-3.08904058128532e-05,-67.56088402229614,0.0,240,986468,-0.04337855040802735
35 mrpt_small_learnedregime,naive_rw,wis,15,-5.54892268108826e-05,-5.827695198001727e-05,-5.28332125250179e-05,-66.27763005563507,0.0,240,986468,-0.04418163449729847 35 mrpt_small_learnedregime,naive_rw,wis,15,-5.54892268108826e-05,-5.827695198001727e-05,-5.28332125250179e-05,-66.27763005563507,0.0,240,986468,-0.04418163449729847
36 mrpt_small_learnedregime,naive_rw,wis,30,-7.74924476151624e-05,-8.153121156523266e-05,-7.360165608807799e-05,-50.59082498469829,0.0,480,986468,-0.044729202684563395 36 mrpt_small_learnedregime,naive_rw,wis,30,-7.74924476151624e-05,-8.153121156523266e-05,-7.360165608807799e-05,-50.59082498469829,0.0,480,986468,-0.044729202684563395
modified results/metrics/ablations/leaderboard_test.csv +4 −4
@@ -27,10 +27,10 @@ mrpt_small_cross,5,986468,251,0.0007933300842630625,0.0007783873148751981,0.0008
27 mrpt_small_cross,15,986468,251,0.0013351936403848868,0.0013083916859821987,0.0013637913562638527,0.441593650203091,0.43532746469663974,0.44807097822149716,0.0012018311830832328,0.001177677856220303,0.0012278792287087814,0.0005185988610579725,0.0005082210104158248,0.000530042552931401,0.001848611617559647,0.0018104854964341984,0.0018892384810822685,1.0168257342449115e-05,9.529987813052569e-06,1.0801852650727117e-05,-11.397715704777129,-11.436088979752657,-11.35406261654846,0.01117042564989437,0.010149707736309677,0.012405615470135509,0.008324672468006611,0.008196009215067131,0.008469225961764835,,,,,,,0.5005487516034085,0.0116019982401862,0.5629630155260992,0.840949731770316,0.9583980423085189,0.03344008810019694,0.0,0.07295392624190904 27 mrpt_small_cross,15,986468,251,0.0013351936403848868,0.0013083916859821987,0.0013637913562638527,0.441593650203091,0.43532746469663974,0.44807097822149716,0.0012018311830832328,0.001177677856220303,0.0012278792287087814,0.0005185988610579725,0.0005082210104158248,0.000530042552931401,0.001848611617559647,0.0018104854964341984,0.0018892384810822685,1.0168257342449115e-05,9.529987813052569e-06,1.0801852650727117e-05,-11.397715704777129,-11.436088979752657,-11.35406261654846,0.01117042564989437,0.010149707736309677,0.012405615470135509,0.008324672468006611,0.008196009215067131,0.008469225961764835,,,,,,,0.5005487516034085,0.0116019982401862,0.5629630155260992,0.840949731770316,0.9583980423085189,0.03344008810019694,0.0,0.07295392624190904
28 mrpt_small_cross,30,986468,251,0.001841317610199633,0.0018004258668104013,0.0018831332632112871,0.4313395292272935,0.42510105023486805,0.43823535311608824,0.0016576118476494914,0.0016207180045372603,0.0016956490280029075,0.0007156847384919454,0.0006997861977631275,0.0007322467874915638,0.002547219492850158,0.002489139720634968,0.0026063188231381343,1.9190570606384e-05,1.7820521495804055e-05,2.059220804847248e-05,-10.725860781085165,-10.764909561100406,-10.679414610166251,0.009507611042628854,0.008476470001487012,0.010759541119550221,0.011633060872554779,0.01145283560196049,0.011835323311794878,,,,,,,0.5008377812026255,0.009812786628659014,0.5709744259317079,0.8460396079751193,0.9597726434106327,0.03834430252467602,0.0,0.07165362533240123 28 mrpt_small_cross,30,986468,251,0.001841317610199633,0.0018004258668104013,0.0018831332632112871,0.4313395292272935,0.42510105023486805,0.43823535311608824,0.0016576118476494914,0.0016207180045372603,0.0016956490280029075,0.0007156847384919454,0.0006997861977631275,0.0007322467874915638,0.002547219492850158,0.002489139720634968,0.0026063188231381343,1.9190570606384e-05,1.7820521495804055e-05,2.059220804847248e-05,-10.725860781085165,-10.764909561100406,-10.679414610166251,0.009507611042628854,0.008476470001487012,0.010759541119550221,0.011633060872554779,0.01145283560196049,0.011835323311794878,,,,,,,0.5008377812026255,0.009812786628659014,0.5709744259317079,0.8460396079751193,0.9597726434106327,0.03834430252467602,0.0,0.07165362533240123
29 mrpt_small_cross,60,986468,251,0.0025229804576219683,0.002460893761382644,0.0025899006849196817,0.41900137971487583,0.41089136564488615,0.4288238978336464,0.0022716673779385283,0.002215029855339016,0.0023332872739589786,0.0009814104695577862,0.0009566250122747574,0.0010091873506016052,0.003485357279014247,0.003397624331651996,0.0035802844511820236,3.531188109550823e-05,3.246290209022766e-05,3.807847596932508e-05,-10.067434316064606,-10.10815258627257,-10.01529184994084,0.007979012370396202,0.006557373115734499,0.009825964062407488,0.016106978058815002,0.015860568150195216,0.016386678027115548,,,,,,,0.5016558237866396,0.00818171496693253,0.5776254272819797,0.8507462989169441,0.9607610180968871,0.041630354691574833,0.0,0.07051144527608726 29 mrpt_small_cross,60,986468,251,0.0025229804576219683,0.002460893761382644,0.0025899006849196817,0.41900137971487583,0.41089136564488615,0.4288238978336464,0.0022716673779385283,0.002215029855339016,0.0023332872739589786,0.0009814104695577862,0.0009566250122747574,0.0010091873506016052,0.003485357279014247,0.003397624331651996,0.0035802844511820236,3.531188109550823e-05,3.246290209022766e-05,3.807847596932508e-05,-10.067434316064606,-10.10815258627257,-10.01529184994084,0.007979012370396202,0.006557373115734499,0.009825964062407488,0.016106978058815002,0.015860568150195216,0.016386678027115548,,,,,,,0.5016558237866396,0.00818171496693253,0.5776254272819797,0.8507462989169441,0.9607610180968871,0.041630354691574833,0.0,0.07051144527608726
30−mrpt_small_gaussian,5,986468,251,,,,,,,,,,,,,,,,,,,,,,0.014007550168885356,0.012980084135262157,0.015055424081889314,,,,,,,,,,0.0,0.014007550168885356,0.0,0.0,0.0,0.9950248761956605,0.0,2.0639940784962113e-06 30+mrpt_small_gaussian,5,986468,251,0.0007955013565201627,0.0007804977361463788,0.0008111883637360507,0.45463911494860215,0.4492312832742507,0.4605675393221358,0.0007161433546729822,0.000702628580873621,0.0007303636783838053,0.0003090036835909941,0.0003031791372429708,0.0003151106716403648,0.001097503797818907,0.0010764118178592076,0.00111952374190888,3.6648061700822975e-06,3.4642806938975277e-06,3.8826078736466825e-06,-12.463080430291932,-12.49462460352955,-12.426033571538312,0.013348902802726494,0.012402238152507733,0.014300714679531484,0.004884394817054272,0.004808294075814716,0.00496398720213227,,,,,,,0.5000208888537077,0.014007550168885356,0.5666428105118463,0.8382664212118386,0.9539680962788454,0.03705414449528255,0.0,0.07306810602522176
31−mrpt_small_gaussian,15,986468,251,,,,,,,,,,,,,,,,,,,,,,0.0116019982401862,0.010479603543171775,0.01293865526825326,,,,,,,,,,0.0,0.0116019982401862,0.0,0.0,0.0,0.9950248761956605,0.0,2.0639940784962113e-06 31+mrpt_small_gaussian,15,986468,251,0.0013377645394722826,0.0013111934357313362,0.001366196797901848,0.4423589061470707,0.43611434424889756,0.4488691566424623,0.0012041276286361383,0.0011800912098548038,0.0012300550832300263,0.0005197869854162187,0.0005094427474869106,0.0005311746939840695,0.0018492032730801366,0.0018109645613474674,0.0018900172092094758,1.0164722283263992e-05,9.527086193797251e-06,1.0803691769550412e-05,-11.394925234834751,-11.431933964446714,-11.352395826769603,0.011168525106744466,0.010144095108393796,0.012401765927768685,0.008394552394747734,0.008264937827795422,0.008529931229174524,,,,,,,0.5003699149993879,0.0116019982401862,0.5725882643937766,0.8455641744080903,0.957920581306236,0.037513956215791316,0.0,0.07158779297978
32−mrpt_small_gaussian,30,986468,251,,,,,,,,,,,,,,,,,,,,,,0.009812786628659014,0.008663636143854755,0.011168090552520722,,,,,,,,,,0.0,0.009812786628659014,0.0,0.0,0.0,0.9950248761956605,0.0,2.0639940784962113e-06 32+mrpt_small_gaussian,30,986468,251,0.0018443711958446858,0.0018038462107896295,0.001886206922376319,0.4319703992696168,0.42580448646285574,0.4389066563619095,0.001660365307391858,0.0016237061619503858,0.0016984489446460053,0.0007171665280826406,0.0007011504471260689,0.0007337343965591881,0.0025473472921835414,0.0024892348461638073,0.002606458825023999,1.9186942125842193e-05,1.7811297892461044e-05,2.0587014908241672e-05,-10.723661797575698,-10.762072521328449,-10.678624765369086,0.009525319726539533,0.008484870369905318,0.01078743857686446,0.011723297648131847,0.011541376889716641,0.011912838114804362,,,,,,,0.5005217760121615,0.009812786628659014,0.5777257853270455,0.8492997238633184,0.9595638175794856,0.040393968200541946,0.0,0.07071628172659568
33−mrpt_small_gaussian,60,986468,251,,,,,,,,,,,,,,,,,,,,,,0.00818171496693253,0.0066735587789218224,0.010198649154628954,,,,,,,,,,0.0,0.00818171496693253,0.0,0.0,0.0,0.9950248761956605,0.0,2.0639940784962113e-06 33+mrpt_small_gaussian,60,986468,251,0.0025267879472797286,0.00246428124116045,0.002593770070570634,0.41951099295450783,0.4114870407912824,0.42924618133268827,0.00227510239982674,0.0022183661785647466,0.0023364698217875576,0.0009832496092118043,0.0009585602553951159,0.0010108909654764492,0.0034862808026277906,0.00339803263431106,0.0035806888009341314,3.532396072378975e-05,3.2462679753717787e-05,3.809369959742351e-05,-10.066062448238545,-10.105940514322183,-10.015968900150625,0.008007189766926043,0.006566352547195003,0.0099050345592549,0.016247430816292763,0.015995546251387716,0.016507949592849864,,,,,,,0.5008734301406748,0.00818171496693253,0.5825449989254593,0.8536779702940187,0.9612141498761237,0.04364739382511634,0.0,0.0697040170980019
34 mrpt_small_learnedregime,5,986468,251,0.0007927230299872562,0.000777814832022399,0.0008084361812380203,0.45313179238766305,0.44759688853984037,0.45911860985663266,0.0007137966370351212,0.0007003581699000887,0.0007280271775643527,0.0003078762606063289,0.00030205381788067745,0.0003139592416895209,0.0010960905310055126,0.0010750217977508955,0.0011180522623737957,3.6630316160916484e-06,3.4629696491872854e-06,3.880742070465931e-06,-12.460934936020529,-12.493423107951818,-12.423835590044936,0.013378376211899424,0.012413772786819212,0.014346022961311385,0.004684180486947298,0.004612019028520076,0.004762808807253712,,,,,,,0.49984608213057513,0.014007550168885356,0.5357548344193628,0.8189348260663296,0.95102020541974,0.020799273804214202,0.0,0.07798188788574001 34 mrpt_small_learnedregime,5,986468,251,0.0007927230299872562,0.000777814832022399,0.0008084361812380203,0.45313179238766305,0.44759688853984037,0.45911860985663266,0.0007137966370351212,0.0007003581699000887,0.0007280271775643527,0.0003078762606063289,0.00030205381788067745,0.0003139592416895209,0.0010960905310055126,0.0010750217977508955,0.0011180522623737957,3.6630316160916484e-06,3.4629696491872854e-06,3.880742070465931e-06,-12.460934936020529,-12.493423107951818,-12.423835590044936,0.013378376211899424,0.012413772786819212,0.014346022961311385,0.004684180486947298,0.004612019028520076,0.004762808807253712,,,,,,,0.49984608213057513,0.014007550168885356,0.5357548344193628,0.8189348260663296,0.95102020541974,0.020799273804214202,0.0,0.07798188788574001
35 mrpt_small_learnedregime,15,986468,251,0.0013334948025463455,0.001306468990061828,0.0013620196040009364,0.4410298928014418,0.4346612003699495,0.4476186101758133,0.0012004449965885603,0.001176074814479668,0.0012264515631861526,0.0005178880712317441,0.0005073801586704635,0.0005293327418341259,0.0018481720032836413,0.0018100142719772183,0.0018888809304560782,1.0156109990633787e-05,9.521301166775215e-06,1.0793428124813089e-05,-11.393158779440517,-11.432438820764975,-11.34821254572273,0.011179423584951565,0.010135164735860963,0.012436994192701778,0.008098254911601543,0.00797467101839498,0.00823371027934691,,,,,,,0.49972695482778995,0.0116019982401862,0.55207467449527,0.8315454733453087,0.9543512815418239,0.028923612574030727,0.0,0.07502218331478289 35 mrpt_small_learnedregime,15,986468,251,0.0013334948025463455,0.001306468990061828,0.0013620196040009364,0.4410298928014418,0.4346612003699495,0.4476186101758133,0.0012004449965885603,0.001176074814479668,0.0012264515631861526,0.0005178880712317441,0.0005073801586704635,0.0005293327418341259,0.0018481720032836413,0.0018100142719772183,0.0018888809304560782,1.0156109990633787e-05,9.521301166775215e-06,1.0793428124813089e-05,-11.393158779440517,-11.432438820764975,-11.34821254572273,0.011179423584951565,0.010135164735860963,0.012436994192701778,0.008098254911601543,0.00797467101839498,0.00823371027934691,,,,,,,0.49972695482778995,0.0116019982401862,0.55207467449527,0.8315454733453087,0.9543512815418239,0.028923612574030727,0.0,0.07502218331478289
36 mrpt_small_learnedregime,30,986468,251,0.0018382979176620818,0.0017973306451287883,0.001880366651546556,0.43063762847515336,0.42433163522241396,0.43758255910868743,0.0016549875199275187,0.001617916297130619,0.00169329527220034,0.0007143425752965754,0.0006980824805318663,0.0007310433502672692,0.0025458361531820075,0.0024878898669005146,0.0026044528635427266,1.9172584303834672e-05,1.7802745325368853e-05,2.056811977205612e-05,-10.721712437671759,-10.760994230683094,-10.672815656828629,0.009524725257180162,0.008448312777268853,0.010816142118806785,0.011338342912495136,0.011164690145271244,0.011527502246654388,,,,,,,0.49973438766382927,0.009812786628659014,0.5602138133218716,0.8374321316048772,0.9560076961442237,0.03483792570362054,0.0,0.07362177206635306 36 mrpt_small_learnedregime,30,986468,251,0.0018382979176620818,0.0017973306451287883,0.001880366651546556,0.43063762847515336,0.42433163522241396,0.43758255910868743,0.0016549875199275187,0.001617916297130619,0.00169329527220034,0.0007143425752965754,0.0006980824805318663,0.0007310433502672692,0.0025458361531820075,0.0024878898669005146,0.0026044528635427266,1.9172584303834672e-05,1.7802745325368853e-05,2.056811977205612e-05,-10.721712437671759,-10.760994230683094,-10.672815656828629,0.009524725257180162,0.008448312777268853,0.010816142118806785,0.011338342912495136,0.011164690145271244,0.011527502246654388,,,,,,,0.49973438766382927,0.009812786628659014,0.5602138133218716,0.8374321316048772,0.9560076961442237,0.03483792570362054,0.0,0.07362177206635306
added results/metrics/ablations/pairwise_test_gaussian.csv +13 −0
@@ -0,0 +1,13 @@
1+model,reference,metric,H,diff,lo,hi,dm_t,dm_p,lag,n,rel_diff,p_holm,p_bh
2+mrpt_small_gaussian,mrpt_small_b4k,crps,5,2.568817373351893e-06,2.31307137923554e-06,2.809382441646499e-06,25.97399227759958,0.0,240,986468,0.003239641768410615,0.0,0.0
3+mrpt_small_gaussian,mrpt_small_b4k,crps,15,3.1433622978931316e-06,2.6543790443892245e-06,3.6370297383937663e-06,18.585595782454153,0.0,240,986468,0.002355246830825914,0.0,0.0
4+mrpt_small_gaussian,mrpt_small_b4k,crps,30,3.919663605664936e-06,2.9777709808247203e-06,4.73234134677922e-06,12.244713871484448,0.0,480,986468,0.002129729328376514,0.0,0.0
5+mrpt_small_gaussian,mrpt_small_b4k,crps,60,5.113597777256285e-06,3.545971897818566e-06,6.6030710188683714e-06,7.889767196378906,3.1086244689504383e-15,960,986468,0.0020278581087463583,3.1086244689504383e-15,3.1086244689504383e-15
6+mrpt_small_gaussian,mrpt_small_b4k,wis,5,2.3009037373149647e-06,2.047795209964316e-06,2.5355687443317557e-06,23.113203193541423,0.0,240,986468,0.0032232654898837424,0.0,0.0
7+mrpt_small_gaussian,mrpt_small_b4k,wis,15,2.8306481496225943e-06,2.3482893478549125e-06,3.3266298112719063e-06,16.496206606119674,0.0,240,986468,0.002356326699894146,0.0,0.0
8+mrpt_small_gaussian,mrpt_small_b4k,wis,30,3.5870281262013028e-06,2.674937248631439e-06,4.406152779965575e-06,11.311453099657083,0.0,480,986468,0.0021650622603473545,0.0,0.0
9+mrpt_small_gaussian,mrpt_small_b4k,wis,60,4.756161509988338e-06,3.3075113793930893e-06,6.1759871449064995e-06,7.629203161870492,2.353672812205332e-14,960,986468,0.002094905803228755,2.353672812205332e-14,2.353672812205332e-14
10+mrpt_small_gaussian,mrpt_small_b4k,qlike,5,0.004613870713700355,0.0023399088528022463,0.006579887665476812,4.077757783773551,4.5472101424248734e-05,240,986468,4613870713.700355,0.00017582811778549257,9.094420284849747e-05
11+mrpt_small_gaussian,mrpt_small_b4k,qlike,15,0.003465075215642734,0.0010916407193097423,0.005098955665872459,4.085631852015522,4.395702944637314e-05,240,986468,3465075215.642734,0.00017582811778549257,9.094420284849747e-05
12+mrpt_small_gaussian,mrpt_small_b4k,qlike,30,0.0025351744968362053,4.1630199066524176e-05,0.00425072762283845,3.0310837964747686,0.0024367761041452773,480,986468,2535174496.8362055,0.0024367761041452773,0.0024367761041452773
13+mrpt_small_gaussian,mrpt_small_b4k,qlike,60,0.0023929985010911975,0.0004903172505547321,0.003787666984762196,3.3331926204277287,0.0008585548053168246,960,986468,2392998501.0911975,0.0017171096106336492,0.0011447397404224327
added results/metrics/ablations/stress_calibration_test_gaussian.csv +17 −0
@@ -0,0 +1,17 @@
1+model,H,days,n,cov_50,cov_80,cov_95,pit_var,pit_ks,crps,crps_scaled
2+mrpt_small_b4k,5,stress,100846,0.538771988973286,0.8245542708684529,0.9555956607103901,0.07692901997537448,0.028653024415303152,0.001000667899579472,0.4324144876269438
3+mrpt_small_b4k,5,normal,885622,0.5453308522146018,0.82700971746411,0.9543428234619284,0.07617296008378271,0.026932187890436388,0.0007692776613793298,0.45565888988717995
4+mrpt_small_b4k,15,stress,100846,0.5555401304960038,0.839220197132261,0.9597306784602265,0.07383225260742418,0.03251403364922145,0.0016779405927443434,0.42016865650218066
5+mrpt_small_b4k,15,normal,885622,0.5617227214319428,0.8395274733464164,0.95746605210801,0.07320958276555904,0.03330115209734574,0.0012955273089297348,0.44390140446668414
6+mrpt_small_b4k,30,stress,100846,0.5602007020605676,0.8440096781230787,0.9613767526723915,0.07281599492429351,0.03800864464928605,0.002323230154841277,0.4125244360337249
7+mrpt_small_b4k,30,normal,885622,0.5702060246922502,0.8450783742951282,0.958893297591975,0.07184840803353322,0.03866957618873712,0.0017854774089957554,0.433334870609607
8+mrpt_small_b4k,60,stress,100846,0.5675088749181921,0.8511988576641611,0.9665033813934117,0.07114560724053318,0.042246217891627996,0.003158112375893936,0.39693120555937206
9+mrpt_small_b4k,60,normal,885622,0.5775658237938985,0.8501697112312024,0.9601635912387,0.07057286077878594,0.04366250595913557,0.0024492029912825163,0.4213454434369908
10+mrpt_small_gaussian,5,stress,100846,0.5620649306863931,0.8370684013247922,0.9543858953255459,0.07355365527626624,0.03971165433917856,0.001004048002441782,0.4338390942395913
11+mrpt_small_gaussian,5,normal,885622,0.5671640948395591,0.8384028400378492,0.9539205213962616,0.07301044789163603,0.03677362021633934,0.0007717540974699004,0.4570076185409033
12+mrpt_small_gaussian,15,stress,100846,0.5671023144200067,0.8446839735834837,0.9598000912282093,0.07209009876501439,0.040056872050852926,0.0016824104612310647,0.42130484879801794
13+mrpt_small_gaussian,15,normal,885622,0.5732129508977871,0.845664403097484,0.9577065610384566,0.07152851359472051,0.03729722792262127,0.0012985196216341007,0.44475633695549976
14+mrpt_small_gaussian,30,stress,100846,0.5686888919739008,0.8474902326319338,0.961654403744323,0.07161691458999395,0.044257560040485144,0.002329563182194924,0.41355618221180385
15+mrpt_small_gaussian,30,normal,885622,0.5787548186472332,0.8495057710851808,0.9593257620068155,0.0706067835670334,0.03999187683631894,0.0017891222622641333,0.43406723079978676
16+mrpt_small_gaussian,60,stress,100846,0.5723578525672808,0.8538365428475101,0.9667711163556314,0.07025225645760463,0.04992232767595639,0.003166238839173572,0.39777158321485606
17+mrpt_small_gaussian,60,normal,885622,0.5837050118447825,0.853659913597449,0.9605813767047341,0.06963048288942508,0.043056758750875695,0.0024539735133068522,0.421986465012118
modified results/metrics/ablations/summary_mrpt_small_gaussian_test.json +132 −132
@@ -3,160 +3,160 @@
3 "H": 5, 3 "H": 5,
4 "n": 986468, 4 "n": 986468,
5 "n_days": 251, 5 "n_days": 251,
6− "crps": NaN, 6+ "crps": 0.0007955013565201627,
7− "crps_lo": NaN, 7+ "crps_lo": 0.0007804977361463788,
8− "crps_hi": NaN, 8+ "crps_hi": 0.0008111883637360507,
9− "crps_scaled": NaN, 9+ "crps_scaled": 0.45463911494860215,
10− "crps_scaled_lo": NaN, 10+ "crps_scaled_lo": 0.4492312832742507,
11− "crps_scaled_hi": NaN, 11+ "crps_scaled_hi": 0.4605675393221358,
12− "wis": NaN, 12+ "wis": 0.0007161433546729822,
13− "wis_lo": NaN, 13+ "wis_lo": 0.000702628580873621,
14− "wis_hi": NaN, 14+ "wis_hi": 0.0007303636783838053,
15− "qloss": NaN, 15+ "qloss": 0.0003090036835909941,
16− "qloss_lo": NaN, 16+ "qloss_lo": 0.0003031791372429708,
17− "qloss_hi": NaN, 17+ "qloss_hi": 0.0003151106716403648,
18− "mae": NaN, 18+ "mae": 0.001097503797818907,
19− "mae_lo": NaN, 19+ "mae_lo": 0.0010764118178592076,
20− "mae_hi": NaN, 20+ "mae_hi": 0.00111952374190888,
21− "mse": NaN, 21+ "mse": 3.6648061700822975e-06,
22− "mse_lo": NaN, 22+ "mse_lo": 3.4642806938975277e-06,
23− "mse_hi": NaN, 23+ "mse_hi": 3.8826078736466825e-06,
24− "qlike": NaN, 24+ "qlike": -12.463080430291932,
25− "qlike_lo": NaN, 25+ "qlike_lo": -12.49462460352955,
26− "qlike_hi": NaN, 26+ "qlike_hi": -12.426033571538312,
27− "brier_tail": 0.014007550168885356, 27+ "brier_tail": 0.013348902802726494,
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29− "brier_tail_hi": 0.015055424081889314, 29+ "brier_tail_hi": 0.014300714679531484,
30− "sharpness": NaN, 30+ "sharpness": 0.004884394817054272,
31− "sharpness_lo": NaN, 31+ "sharpness_lo": 0.004808294075814716,
32− "sharpness_hi": NaN, 32+ "sharpness_hi": 0.00496398720213227,
33− "dir_acc": 0.0, 33+ "dir_acc": 0.5000208888537077,
34 "tail_rate": 0.014007550168885356, 34 "tail_rate": 0.014007550168885356,
35− "cov_50": 0.0, 35+ "cov_50": 0.5666428105118463,
36− "cov_80": 0.0, 36+ "cov_80": 0.8382664212118386,
37− "cov_95": 0.0, 37+ "cov_95": 0.9539680962788454,
38− "pit_ks": 0.9950248761956605, 38+ "pit_ks": 0.03705414449528255,
39 "pit_chi2_p": 0.0, 39 "pit_chi2_p": 0.0,
40− "pit_var": 2.0639940784962113e-06 40+ "pit_var": 0.07306810602522176
41 }, 41 },
42 "15": { 42 "15": {
43 "H": 15, 43 "H": 15,
44 "n": 986468, 44 "n": 986468,
45 "n_days": 251, 45 "n_days": 251,
46− "crps": NaN, 46+ "crps": 0.0013377645394722826,
47− "crps_lo": NaN, 47+ "crps_lo": 0.0013111934357313362,
48− "crps_hi": NaN, 48+ "crps_hi": 0.001366196797901848,
49− "crps_scaled": NaN, 49+ "crps_scaled": 0.4423589061470707,
50− "crps_scaled_lo": NaN, 50+ "crps_scaled_lo": 0.43611434424889756,
51− "crps_scaled_hi": NaN, 51+ "crps_scaled_hi": 0.4488691566424623,
52− "wis": NaN, 52+ "wis": 0.0012041276286361383,
53− "wis_lo": NaN, 53+ "wis_lo": 0.0011800912098548038,
54− "wis_hi": NaN, 54+ "wis_hi": 0.0012300550832300263,
55− "qloss": NaN, 55+ "qloss": 0.0005197869854162187,
56− "qloss_lo": NaN, 56+ "qloss_lo": 0.0005094427474869106,
57− "qloss_hi": NaN, 57+ "qloss_hi": 0.0005311746939840695,
58− "mae": NaN, 58+ "mae": 0.0018492032730801366,
59− "mae_lo": NaN, 59+ "mae_lo": 0.0018109645613474674,
60− "mae_hi": NaN, 60+ "mae_hi": 0.0018900172092094758,
61− "mse": NaN, 61+ "mse": 1.0164722283263992e-05,
62− "mse_lo": NaN, 62+ "mse_lo": 9.527086193797251e-06,
63− "mse_hi": NaN, 63+ "mse_hi": 1.0803691769550412e-05,
64− "qlike": NaN, 64+ "qlike": -11.394925234834751,
65− "qlike_lo": NaN, 65+ "qlike_lo": -11.431933964446714,
66− "qlike_hi": NaN, 66+ "qlike_hi": -11.352395826769603,
67− "brier_tail": 0.0116019982401862, 67+ "brier_tail": 0.011168525106744466,
68− "brier_tail_lo": 0.010479603543171775, 68+ "brier_tail_lo": 0.010144095108393796,
69− "brier_tail_hi": 0.01293865526825326, 69+ "brier_tail_hi": 0.012401765927768685,
70− "sharpness": NaN, 70+ "sharpness": 0.008394552394747734,
71− "sharpness_lo": NaN, 71+ "sharpness_lo": 0.008264937827795422,
72− "sharpness_hi": NaN, 72+ "sharpness_hi": 0.008529931229174524,
73− "dir_acc": 0.0, 73+ "dir_acc": 0.5003699149993879,
74 "tail_rate": 0.0116019982401862, 74 "tail_rate": 0.0116019982401862,
75− "cov_50": 0.0, 75+ "cov_50": 0.5725882643937766,
76− "cov_80": 0.0, 76+ "cov_80": 0.8455641744080903,
77− "cov_95": 0.0, 77+ "cov_95": 0.957920581306236,
78− "pit_ks": 0.9950248761956605, 78+ "pit_ks": 0.037513956215791316,
79 "pit_chi2_p": 0.0, 79 "pit_chi2_p": 0.0,
80− "pit_var": 2.0639940784962113e-06 80+ "pit_var": 0.07158779297978
81 }, 81 },
82 "30": { 82 "30": {
83 "H": 30, 83 "H": 30,
84 "n": 986468, 84 "n": 986468,
85 "n_days": 251, 85 "n_days": 251,
86− "crps": NaN, 86+ "crps": 0.0018443711958446858,
87− "crps_lo": NaN, 87+ "crps_lo": 0.0018038462107896295,
88− "crps_hi": NaN, 88+ "crps_hi": 0.001886206922376319,
89− "crps_scaled": NaN, 89+ "crps_scaled": 0.4319703992696168,
90− "crps_scaled_lo": NaN, 90+ "crps_scaled_lo": 0.42580448646285574,
91− "crps_scaled_hi": NaN, 91+ "crps_scaled_hi": 0.4389066563619095,
92− "wis": NaN, 92+ "wis": 0.001660365307391858,
93− "wis_lo": NaN, 93+ "wis_lo": 0.0016237061619503858,
94− "wis_hi": NaN, 94+ "wis_hi": 0.0016984489446460053,
95− "qloss": NaN, 95+ "qloss": 0.0007171665280826406,
96− "qloss_lo": NaN, 96+ "qloss_lo": 0.0007011504471260689,
97− "qloss_hi": NaN, 97+ "qloss_hi": 0.0007337343965591881,
98− "mae": NaN, 98+ "mae": 0.0025473472921835414,
99− "mae_lo": NaN, 99+ "mae_lo": 0.0024892348461638073,
100− "mae_hi": NaN, 100+ "mae_hi": 0.002606458825023999,
101− "mse": NaN, 101+ "mse": 1.9186942125842193e-05,
102− "mse_lo": NaN, 102+ "mse_lo": 1.7811297892461044e-05,
103− "mse_hi": NaN, 103+ "mse_hi": 2.0587014908241672e-05,
104− "qlike": NaN, 104+ "qlike": -10.723661797575698,
105− "qlike_lo": NaN, 105+ "qlike_lo": -10.762072521328449,
106− "qlike_hi": NaN, 106+ "qlike_hi": -10.678624765369086,
107− "brier_tail": 0.009812786628659014, 107+ "brier_tail": 0.009525319726539533,
108− "brier_tail_lo": 0.008663636143854755, 108+ "brier_tail_lo": 0.008484870369905318,
109− "brier_tail_hi": 0.011168090552520722, 109+ "brier_tail_hi": 0.01078743857686446,
110− "sharpness": NaN, 110+ "sharpness": 0.011723297648131847,
111− "sharpness_lo": NaN, 111+ "sharpness_lo": 0.011541376889716641,
112− "sharpness_hi": NaN, 112+ "sharpness_hi": 0.011912838114804362,
113− "dir_acc": 0.0, 113+ "dir_acc": 0.5005217760121615,
114 "tail_rate": 0.009812786628659014, 114 "tail_rate": 0.009812786628659014,
115− "cov_50": 0.0, 115+ "cov_50": 0.5777257853270455,
116− "cov_80": 0.0, 116+ "cov_80": 0.8492997238633184,
117− "cov_95": 0.0, 117+ "cov_95": 0.9595638175794856,
118− "pit_ks": 0.9950248761956605, 118+ "pit_ks": 0.040393968200541946,
119 "pit_chi2_p": 0.0, 119 "pit_chi2_p": 0.0,
120− "pit_var": 2.0639940784962113e-06 120+ "pit_var": 0.07071628172659568
121 }, 121 },
122 "60": { 122 "60": {
123 "H": 60, 123 "H": 60,
124 "n": 986468, 124 "n": 986468,
125 "n_days": 251, 125 "n_days": 251,
126− "crps": NaN, 126+ "crps": 0.0025267879472797286,
127− "crps_lo": NaN, 127+ "crps_lo": 0.00246428124116045,
128− "crps_hi": NaN, 128+ "crps_hi": 0.002593770070570634,
129− "crps_scaled": NaN, 129+ "crps_scaled": 0.41951099295450783,
130− "crps_scaled_lo": NaN, 130+ "crps_scaled_lo": 0.4114870407912824,
131− "crps_scaled_hi": NaN, 131+ "crps_scaled_hi": 0.42924618133268827,
132− "wis": NaN, 132+ "wis": 0.00227510239982674,
133− "wis_lo": NaN, 133+ "wis_lo": 0.0022183661785647466,
134− "wis_hi": NaN, 134+ "wis_hi": 0.0023364698217875576,
135− "qloss": NaN, 135+ "qloss": 0.0009832496092118043,
136− "qloss_lo": NaN, 136+ "qloss_lo": 0.0009585602553951159,
137− "qloss_hi": NaN, 137+ "qloss_hi": 0.0010108909654764492,
138− "mae": NaN, 138+ "mae": 0.0034862808026277906,
139− "mae_lo": NaN, 139+ "mae_lo": 0.00339803263431106,
140− "mae_hi": NaN, 140+ "mae_hi": 0.0035806888009341314,
141− "mse": NaN, 141+ "mse": 3.532396072378975e-05,
142− "mse_lo": NaN, 142+ "mse_lo": 3.2462679753717787e-05,
143− "mse_hi": NaN, 143+ "mse_hi": 3.809369959742351e-05,
144− "qlike": NaN, 144+ "qlike": -10.066062448238545,
145− "qlike_lo": NaN, 145+ "qlike_lo": -10.105940514322183,
146− "qlike_hi": NaN, 146+ "qlike_hi": -10.015968900150625,
147− "brier_tail": 0.00818171496693253, 147+ "brier_tail": 0.008007189766926043,
148− "brier_tail_lo": 0.0066735587789218224, 148+ "brier_tail_lo": 0.006566352547195003,
149− "brier_tail_hi": 0.010198649154628954, 149+ "brier_tail_hi": 0.0099050345592549,
150− "sharpness": NaN, 150+ "sharpness": 0.016247430816292763,
151− "sharpness_lo": NaN, 151+ "sharpness_lo": 0.015995546251387716,
152− "sharpness_hi": NaN, 152+ "sharpness_hi": 0.016507949592849864,
153− "dir_acc": 0.0, 153+ "dir_acc": 0.5008734301406748,
154 "tail_rate": 0.00818171496693253, 154 "tail_rate": 0.00818171496693253,
155− "cov_50": 0.0, 155+ "cov_50": 0.5825449989254593,
156− "cov_80": 0.0, 156+ "cov_80": 0.8536779702940187,
157− "cov_95": 0.0, 157+ "cov_95": 0.9612141498761237,
158− "pit_ks": 0.9950248761956605, 158+ "pit_ks": 0.04364739382511634,
159 "pit_chi2_p": 0.0, 159 "pit_chi2_p": 0.0,
160− "pit_var": 2.0639940784962113e-06 160+ "pit_var": 0.0697040170980019
161 } 161 }
162 } 162 }
\ No newline at end of file
163 163
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