WP41: Gaussian-head ablation re-scored, final manuscript build
Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
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docs/PHASE_7_REPORT.md
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@@ -21,7 +21,7 @@ calibration) for `main/test`, `main/test_heldout`, `final/final`, `final/final_h | ||
| 21 | 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 | 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 | 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 | 26 | ## Calibration |
| 27 | 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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paper/results_macros.tex
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@@ -1566,14 +1566,14 @@ | ||
| 1566 | 1566 | \newcommand{\dmrelablationsmrptsmallcrosscrpsHthreezero}{-48.7} |
| 1567 | 1567 | \newcommand{\relablationsmrptsmallcrosscrpsHsixzero}{-4.29} |
| 1568 | 1568 | \newcommand{\dmrelablationsmrptsmallcrosscrpsHsixzero}{-38.1} |
| 1569 | −\newcommand{\relablationsmrptsmallgaussiancrpsHfive}{+nan} | |
| 1570 | −\newcommand{\dmrelablationsmrptsmallgaussiancrpsHfive}{nan} | |
| 1571 | −\newcommand{\relablationsmrptsmallgaussiancrpsHonefive}{+nan} | |
| 1572 | −\newcommand{\dmrelablationsmrptsmallgaussiancrpsHonefive}{nan} | |
| 1573 | −\newcommand{\relablationsmrptsmallgaussiancrpsHthreezero}{+nan} | |
| 1574 | −\newcommand{\dmrelablationsmrptsmallgaussiancrpsHthreezero}{nan} | |
| 1575 | −\newcommand{\relablationsmrptsmallgaussiancrpsHsixzero}{+nan} | |
| 1576 | −\newcommand{\dmrelablationsmrptsmallgaussiancrpsHsixzero}{nan} | |
| 1569 | +\newcommand{\relablationsmrptsmallgaussiancrpsHfive}{-3.79} | |
| 1570 | +\newcommand{\dmrelablationsmrptsmallgaussiancrpsHfive}{-64.6} | |
| 1571 | +\newcommand{\relablationsmrptsmallgaussiancrpsHonefive}{-3.89} | |
| 1572 | +\newcommand{\dmrelablationsmrptsmallgaussiancrpsHonefive}{-63.7} | |
| 1573 | +\newcommand{\relablationsmrptsmallgaussiancrpsHthreezero}{-3.95} | |
| 1574 | +\newcommand{\dmrelablationsmrptsmallgaussiancrpsHthreezero}{-48.7} | |
| 1575 | +\newcommand{\relablationsmrptsmallgaussiancrpsHsixzero}{-4.15} | |
| 1576 | +\newcommand{\dmrelablationsmrptsmallgaussiancrpsHsixzero}{-38.4} | |
| 1577 | 1577 | \newcommand{\relablationsmrptsmalllearnedregimecrpsHfive}{-4.12} |
| 1578 | 1578 | \newcommand{\dmrelablationsmrptsmalllearnedregimecrpsHfive}{-68.5} |
| 1579 | 1579 | \newcommand{\relablationsmrptsmalllearnedregimecrpsHonefive}{-4.20} |
@@ -1710,14 +1710,14 @@ | ||
| 1710 | 1710 | \newcommand{\dmrelablationsmrptsmallcrosswisHthreezero}{-48.1} |
| 1711 | 1711 | \newcommand{\relablationsmrptsmallcrosswisHsixzero}{-4.50} |
| 1712 | 1712 | \newcommand{\dmrelablationsmrptsmallcrosswisHsixzero}{-37.1} |
| 1713 | −\newcommand{\relablationsmrptsmallgaussianwisHfive}{+nan} | |
| 1714 | −\newcommand{\dmrelablationsmrptsmallgaussianwisHfive}{nan} | |
| 1715 | −\newcommand{\relablationsmrptsmallgaussianwisHonefive}{+nan} | |
| 1716 | −\newcommand{\dmrelablationsmrptsmallgaussianwisHonefive}{nan} | |
| 1717 | −\newcommand{\relablationsmrptsmallgaussianwisHthreezero}{+nan} | |
| 1718 | −\newcommand{\dmrelablationsmrptsmallgaussianwisHthreezero}{nan} | |
| 1719 | −\newcommand{\relablationsmrptsmallgaussianwisHsixzero}{+nan} | |
| 1720 | −\newcommand{\dmrelablationsmrptsmallgaussianwisHsixzero}{nan} | |
| 1713 | +\newcommand{\relablationsmrptsmallgaussianwisHfive}{-4.02} | |
| 1714 | +\newcommand{\dmrelablationsmrptsmallgaussianwisHfive}{-63.6} | |
| 1715 | +\newcommand{\relablationsmrptsmallgaussianwisHonefive}{-4.12} | |
| 1716 | +\newcommand{\dmrelablationsmrptsmallgaussianwisHonefive}{-63.0} | |
| 1717 | +\newcommand{\relablationsmrptsmallgaussianwisHthreezero}{-4.16} | |
| 1718 | +\newcommand{\dmrelablationsmrptsmallgaussianwisHthreezero}{-48.1} | |
| 1719 | +\newcommand{\relablationsmrptsmallgaussianwisHsixzero}{-4.36} | |
| 1720 | +\newcommand{\dmrelablationsmrptsmallgaussianwisHsixzero}{-37.5} | |
| 1721 | 1721 | \newcommand{\relablationsmrptsmalllearnedregimewisHfive}{-4.34} |
| 1722 | 1722 | \newcommand{\dmrelablationsmrptsmalllearnedregimewisHfive}{-67.6} |
| 1723 | 1723 | \newcommand{\relablationsmrptsmalllearnedregimewisHonefive}{-4.42} |
@@ -1854,14 +1854,14 @@ | ||
| 1854 | 1854 | \newcommand{\dmrelablationsmrptsmallcrossqlikeHthreezero}{-31.5} |
| 1855 | 1855 | \newcommand{\relablationsmrptsmallcrossqlikeHsixzero}{-13604618987866.28} |
| 1856 | 1856 | \newcommand{\dmrelablationsmrptsmallcrossqlikeHsixzero}{-24.5} |
| 1857 | −\newcommand{\relablationsmrptsmallgaussianqlikeHfive}{+nan} | |
| 1858 | −\newcommand{\dmrelablationsmrptsmallgaussianqlikeHfive}{nan} | |
| 1859 | −\newcommand{\relablationsmrptsmallgaussianqlikeHonefive}{+nan} | |
| 1860 | −\newcommand{\dmrelablationsmrptsmallgaussianqlikeHonefive}{nan} | |
| 1861 | −\newcommand{\relablationsmrptsmallgaussianqlikeHthreezero}{+nan} | |
| 1862 | −\newcommand{\dmrelablationsmrptsmallgaussianqlikeHthreezero}{nan} | |
| 1863 | −\newcommand{\relablationsmrptsmallgaussianqlikeHsixzero}{+nan} | |
| 1864 | −\newcommand{\dmrelablationsmrptsmallgaussianqlikeHsixzero}{nan} | |
| 1857 | +\newcommand{\relablationsmrptsmallgaussianqlikeHfive}{-16196571515857.32} | |
| 1858 | +\newcommand{\dmrelablationsmrptsmallgaussianqlikeHfive}{-53.9} | |
| 1859 | +\newcommand{\relablationsmrptsmallgaussianqlikeHonefive}{-15116387692219.17} | |
| 1860 | +\newcommand{\dmrelablationsmrptsmallgaussianqlikeHonefive}{-43.7} | |
| 1861 | +\newcommand{\relablationsmrptsmallgaussianqlikeHthreezero}{-14177268697320.96} | |
| 1862 | +\newcommand{\dmrelablationsmrptsmallgaussianqlikeHthreezero}{-33.0} | |
| 1863 | +\newcommand{\relablationsmrptsmallgaussianqlikeHsixzero}{-13467432205260.08} | |
| 1864 | +\newcommand{\dmrelablationsmrptsmallgaussianqlikeHsixzero}{-26.2} | |
| 1865 | 1865 | \newcommand{\relablationsmrptsmalllearnedregimeqlikeHfive}{-15982022088717.06} |
| 1866 | 1866 | \newcommand{\dmrelablationsmrptsmalllearnedregimeqlikeHfive}{-54.4} |
| 1867 | 1867 | \newcommand{\relablationsmrptsmalllearnedregimeqlikeHonefive}{-14939742152795.70} |
@@ -2026,18 +2026,18 @@ | ||
| 2026 | 2026 | \newcommand{\crpsablationsmrptsmallcrossHsixzero}{0.4190} |
| 2027 | 2027 | \newcommand{\covfiftyablationsmrptsmallcrossHsixzero}{58} |
| 2028 | 2028 | \newcommand{\covninetyfiveablationsmrptsmallcrossHsixzero}{96.1} |
| 2029 | −\newcommand{\crpsablationsmrptsmallgaussianHfive}{nan} | |
| 2030 | −\newcommand{\covfiftyablationsmrptsmallgaussianHfive}{0} | |
| 2031 | −\newcommand{\covninetyfiveablationsmrptsmallgaussianHfive}{0.0} | |
| 2032 | −\newcommand{\crpsablationsmrptsmallgaussianHonefive}{nan} | |
| 2033 | −\newcommand{\covfiftyablationsmrptsmallgaussianHonefive}{0} | |
| 2034 | −\newcommand{\covninetyfiveablationsmrptsmallgaussianHonefive}{0.0} | |
| 2035 | −\newcommand{\crpsablationsmrptsmallgaussianHthreezero}{nan} | |
| 2036 | −\newcommand{\covfiftyablationsmrptsmallgaussianHthreezero}{0} | |
| 2037 | −\newcommand{\covninetyfiveablationsmrptsmallgaussianHthreezero}{0.0} | |
| 2038 | −\newcommand{\crpsablationsmrptsmallgaussianHsixzero}{nan} | |
| 2039 | −\newcommand{\covfiftyablationsmrptsmallgaussianHsixzero}{0} | |
| 2040 | −\newcommand{\covninetyfiveablationsmrptsmallgaussianHsixzero}{0.0} | |
| 2029 | +\newcommand{\crpsablationsmrptsmallgaussianHfive}{0.4546} | |
| 2030 | +\newcommand{\covfiftyablationsmrptsmallgaussianHfive}{57} | |
| 2031 | +\newcommand{\covninetyfiveablationsmrptsmallgaussianHfive}{95.4} | |
| 2032 | +\newcommand{\crpsablationsmrptsmallgaussianHonefive}{0.4424} | |
| 2033 | +\newcommand{\covfiftyablationsmrptsmallgaussianHonefive}{57} | |
| 2034 | +\newcommand{\covninetyfiveablationsmrptsmallgaussianHonefive}{95.8} | |
| 2035 | +\newcommand{\crpsablationsmrptsmallgaussianHthreezero}{0.4320} | |
| 2036 | +\newcommand{\covfiftyablationsmrptsmallgaussianHthreezero}{58} | |
| 2037 | +\newcommand{\covninetyfiveablationsmrptsmallgaussianHthreezero}{96.0} | |
| 2038 | +\newcommand{\crpsablationsmrptsmallgaussianHsixzero}{0.4195} | |
| 2039 | +\newcommand{\covfiftyablationsmrptsmallgaussianHsixzero}{58} | |
| 2040 | +\newcommand{\covninetyfiveablationsmrptsmallgaussianHsixzero}{96.1} | |
| 2041 | 2041 | \newcommand{\crpsablationsmrptsmalllearnedregimeHfive}{0.4531} |
| 2042 | 2042 | \newcommand{\covfiftyablationsmrptsmalllearnedregimeHfive}{54} |
| 2043 | 2043 | \newcommand{\covninetyfiveablationsmrptsmalllearnedregimeHfive}{95.1} |
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paper/tables/ablations_calibration.tex
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@@ -12,7 +12,7 @@ Seasonal volatility & 0.56 & 0.82 & 0.94 & 0.031 & 0.56 & 0.83 & 0.94 & 0.031 & | ||
| 12 | 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 | 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 | 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 | 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 | 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 | 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 \\ |
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paper/tables/ablations_compare_crps.tex
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@@ -10,7 +10,7 @@ Seasonal volatility & -2.89\% (-48.8) & -3.09\% (-49.9) & -3.22\% (-39.3) & -3.4 | ||
| 10 | 10 | EWMA-$t$ & -3.65\% (-57.2) & -3.69\% (-53.4) & -3.60\% (-37.3) & -3.47\% (-25.5) \\ |
| 11 | 11 | MRPT-S (1m+5m) & -4.00\% (-65.8) & -4.01\% (-63.8) & -4.05\% (-48.4) & -4.24\% (-38.2) \\ |
| 12 | 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 | 14 | MRPT-S no regime & -4.07\% (-65.8) & -4.10\% (-63.9) & -4.13\% (-48.9) & -4.31\% (-38.9) \\ |
| 15 | 15 | MRPT-S learned regime & -4.12\% (-68.5) & -4.20\% (-67.1) & -4.26\% (-51.4) & -4.49\% (-40.0) \\ |
| 16 | 16 | MRPT-S returns only & -3.92\% (-68.7) & -3.91\% (-66.5) & -3.93\% (-50.6) & -4.08\% (-39.3) \\ |
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paper/tables/ablations_compare_qlike.tex
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@@ -10,7 +10,7 @@ Seasonal volatility & -8472593190631.71\% (-26.5) & -8305269577503.39\% (-23.8) | ||
| 10 | 10 | EWMA-$t$ & -12797135612615.71\% (-41.9) & -10996225269347.05\% (-30.9) & -8956891977333.71\% (-18.6) & -6156613654049.44\% (-9.7) \\ |
| 11 | 11 | MRPT-S (1m+5m) & -16784744013233.53\% (-59.9) & -15622125901051.64\% (-46.0) & -14624940309040.50\% (-34.1) & -13851597366601.78\% (-26.2) \\ |
| 12 | 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 | 14 | MRPT-S no regime & -16629184340488.87\% (-56.0) & -15488419278646.12\% (-40.1) & -14484665919159.43\% (-30.4) & -13734597152600.11\% (-24.6) \\ |
| 15 | 15 | MRPT-S learned regime & -15982022088717.06\% (-54.4) & -14939742152795.70\% (-35.5) & -13982332706927.23\% (-26.5) & -13221064495583.95\% (-20.5) \\ |
| 16 | 16 | MRPT-S returns only & -15515037879753.99\% (-54.3) & -14390965004586.04\% (-43.5) & -13413503383533.83\% (-32.7) & -12530275872494.17\% (-25.1) \\ |
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paper/tables/ablations_compare_wis.tex
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@@ -10,7 +10,7 @@ Seasonal volatility & -3.00\% (-46.4) & -3.20\% (-47.8) & -3.33\% (-37.8) & -3.5 | ||
| 10 | 10 | EWMA-$t$ & -3.75\% (-54.5) & -3.75\% (-50.4) & -3.60\% (-34.8) & -3.40\% (-23.3) \\ |
| 11 | 11 | MRPT-S (1m+5m) & -4.23\% (-64.8) & -4.24\% (-63.1) & -4.26\% (-47.9) & -4.45\% (-37.3) \\ |
| 12 | 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 | 14 | MRPT-S no regime & -4.31\% (-64.5) & -4.33\% (-62.9) & -4.35\% (-48.2) & -4.52\% (-37.9) \\ |
| 15 | 15 | MRPT-S learned regime & -4.34\% (-67.6) & -4.42\% (-66.3) & -4.47\% (-50.6) & -4.69\% (-38.8) \\ |
| 16 | 16 | MRPT-S returns only & -4.14\% (-67.9) & -4.14\% (-66.1) & -4.14\% (-50.3) & -4.28\% (-38.8) \\ |
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paper/tables/ablations_crps_scaled.tex
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@@ -11,7 +11,7 @@ Seasonal volatility & 0.4582 {\scriptsize[0.4527, 0.4641]} & 0.4453 {\scriptsize | ||
| 11 | 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 | 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 | 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 | 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 | 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 | 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]} \\ |
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| 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 | |
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paper/tables/ablations_qlike.tex
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@@ -11,7 +11,7 @@ Seasonal volatility & -12.3858 {\scriptsize[-12.4188, -12.3489]} & -11.3268 {\sc | ||
| 11 | 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 | 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 | 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 | 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 | 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 | 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]} \\ |
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paper/tables/ablations_wis.tex
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@@ -11,7 +11,7 @@ Seasonal volatility & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize | ||
| 11 | 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 | 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 | 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 | 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 | 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 | 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 | 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 | 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 | 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, | |
| 31 | −mrpt_small_gaussian,naive_rw,crps,15,,,,,,240,986468, | |
| 32 | −mrpt_small_gaussian,naive_rw,crps,30,,,,,,480,986468, | |
| 33 | −mrpt_small_gaussian,naive_rw,crps,60,,,,,,960,986468, | |
| 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,-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,-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,-0.00010934951667198325,-0.00011576015076703178,-0.000102714848863336,-38.43192232673259,0.0,960,986468,-0.04148096150800211 | |
| 34 | 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 | 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 | 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 | 27 | mrpt_small_cross,naive_rw,qlike,15,-0.1539543468645688,-0.16248564218753306,-0.14357609404164498,-42.135624667004734,0.0,240,986468,-153954346864.5688 |
| 28 | 28 | mrpt_small_cross,naive_rw,qlike,30,-0.14397167048267775,-0.15362935372705308,-0.1321954200347388,-31.542851995542794,0.0,480,986468,-143971670482.67776 |
| 29 | 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, | |
| 31 | −mrpt_small_gaussian,naive_rw,qlike,15,,,,,,240,986468, | |
| 32 | −mrpt_small_gaussian,naive_rw,qlike,30,,,,,,480,986468, | |
| 33 | −mrpt_small_gaussian,naive_rw,qlike,60,,,,,,960,986468, | |
| 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,-0.15116387692219171,-0.15910253597991833,-0.14166964189769404,-43.7193220339886,0.0,240,986468,-151163876922.1917 | |
| 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,-0.13467432205260083,-0.1449802069903284,-0.12202489650431203,-26.155124587117694,0.0,960,986468,-134674322052.60083 | |
| 34 | 34 | mrpt_small_learnedregime,naive_rw,qlike,5,-0.15982022088717057,-0.16826331336842823,-0.1516204971393463,-54.438374652776496,0.0,240,986468,-159820220887.17056 |
| 35 | 35 | mrpt_small_learnedregime,naive_rw,qlike,15,-0.14939742152795704,-0.15885014273372114,-0.13761892745992327,-35.53318479571205,0.0,240,986468,-149397421527.95703 |
| 36 | 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 | 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 | 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 | 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, | |
| 31 | −mrpt_small_gaussian,naive_rw,wis,15,,,,,,240,986468, | |
| 32 | −mrpt_small_gaussian,naive_rw,wis,30,,,,,,480,986468, | |
| 33 | −mrpt_small_gaussian,naive_rw,wis,60,,,,,,960,986468, | |
| 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,-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,-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,-0.0001036124486518145,-0.00010982631041429235,-9.726520315679125e-05,-37.53045604442216,0.0,960,986468,-0.04355816281135415 | |
| 34 | 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 | 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 | 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 | 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 | 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 | 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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,15,986468,251,0.0013377645394722826,0.0013111934357313362,0.001366196797901848,0.4423589061470707,0.43611434424889756,0.4488691566424623,0.0012041276286361383,0.0011800912098548038,0.0012300550832300263,0.0005197869854162187,0.0005094427474869106,0.0005311746939840695,0.0018492032730801366,0.0018109645613474674,0.0018900172092094758,1.0164722283263992e-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,30,986468,251,0.0018443711958446858,0.0018038462107896295,0.001886206922376319,0.4319703992696168,0.42580448646285574,0.4389066563619095,0.001660365307391858,0.0016237061619503858,0.0016984489446460053,0.0007171665280826406,0.0007011504471260689,0.0007337343965591881,0.0025473472921835414,0.0024892348461638073,0.002606458825023999,1.9186942125842193e-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,60,986468,251,0.0025267879472797286,0.00246428124116045,0.002593770070570634,0.41951099295450783,0.4114870407912824,0.42924618133268827,0.00227510239982674,0.0022183661785647466,0.0023364698217875576,0.0009832496092118043,0.0009585602553951159,0.0010108909654764492,0.0034862808026277906,0.00339803263431106,0.0035806888009341314,3.532396072378975e-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 | 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 | 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 | 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 | 3 | "H": 5, |
| 4 | 4 | "n": 986468, |
| 5 | 5 | "n_days": 251, |
| 6 | − "crps": NaN, | |
| 7 | − "crps_lo": NaN, | |
| 8 | − "crps_hi": NaN, | |
| 9 | − "crps_scaled": NaN, | |
| 10 | − "crps_scaled_lo": NaN, | |
| 11 | − "crps_scaled_hi": NaN, | |
| 12 | − "wis": NaN, | |
| 13 | − "wis_lo": NaN, | |
| 14 | − "wis_hi": NaN, | |
| 15 | − "qloss": NaN, | |
| 16 | − "qloss_lo": NaN, | |
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| 18 | − "mae": NaN, | |
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| 131 | + "crps_scaled_hi": 0.42924618133268827, | |
| 132 | + "wis": 0.00227510239982674, | |
| 133 | + "wis_lo": 0.0022183661785647466, | |
| 134 | + "wis_hi": 0.0023364698217875576, | |
| 135 | + "qloss": 0.0009832496092118043, | |
| 136 | + "qloss_lo": 0.0009585602553951159, | |
| 137 | + "qloss_hi": 0.0010108909654764492, | |
| 138 | + "mae": 0.0034862808026277906, | |
| 139 | + "mae_lo": 0.00339803263431106, | |
| 140 | + "mae_hi": 0.0035806888009341314, | |
| 141 | + "mse": 3.532396072378975e-05, | |
| 142 | + "mse_lo": 3.2462679753717787e-05, | |
| 143 | + "mse_hi": 3.809369959742351e-05, | |
| 144 | + "qlike": -10.066062448238545, | |
| 145 | + "qlike_lo": -10.105940514322183, | |
| 146 | + "qlike_hi": -10.015968900150625, | |
| 147 | + "brier_tail": 0.008007189766926043, | |
| 148 | + "brier_tail_lo": 0.006566352547195003, | |
| 149 | + "brier_tail_hi": 0.0099050345592549, | |
| 150 | + "sharpness": 0.016247430816292763, | |
| 151 | + "sharpness_lo": 0.015995546251387716, | |
| 152 | + "sharpness_hi": 0.016507949592849864, | |
| 153 | + "dir_acc": 0.5008734301406748, | |
| 154 | 154 | "tail_rate": 0.00818171496693253, |
| 155 | − "cov_50": 0.0, | |
| 156 | − "cov_80": 0.0, | |
| 157 | − "cov_95": 0.0, | |
| 158 | − "pit_ks": 0.9950248761956605, | |
| 155 | + "cov_50": 0.5825449989254593, | |
| 156 | + "cov_80": 0.8536779702940187, | |
| 157 | + "cov_95": 0.9612141498761237, | |
| 158 | + "pit_ks": 0.04364739382511634, | |
| 159 | 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 | |