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QTE
The results are based on a location-scale model as described the corresponding Example with \(5000\) observations.
The non-uniform results (coverage, ci length and bias) refer to averaged values over all quantiles (point-wise confidende intervals).
DoubleML Version 0.8.2
Script pq_coverage.py
Date 2024-08-14 14:35:29
Total Runtime (seconds) 13704.297192
Python Version 3.12.4
Coverage for 95.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.155 |
0.736 |
0.941 |
1.031 |
0.910 |
LGBM |
Logistic Regression |
0.123 |
0.507 |
0.908 |
0.714 |
0.840 |
Logistic Regression |
LGBM |
0.159 |
0.749 |
0.948 |
1.029 |
0.920 |
Logistic Regression |
Logistic Regression |
0.124 |
0.518 |
0.914 |
0.720 |
0.860 |
Coverage for 90.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.155 |
0.618 |
0.882 |
1.031 |
0.920 |
LGBM |
Logistic Regression |
0.123 |
0.426 |
0.829 |
0.715 |
0.840 |
Logistic Regression |
LGBM |
0.159 |
0.629 |
0.894 |
1.034 |
0.920 |
Logistic Regression |
Logistic Regression |
0.124 |
0.434 |
0.844 |
0.719 |
0.850 |
Potential Quantiles
Y(0) - Quantile
Coverage for 95.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.149 |
0.692 |
0.935 |
LGBM |
Logistic Regression |
0.114 |
0.460 |
0.886 |
Logistic Regression |
LGBM |
0.151 |
0.701 |
0.942 |
Logistic Regression |
Logistic Regression |
0.112 |
0.464 |
0.904 |
Coverage for 90.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.149 |
0.580 |
0.884 |
LGBM |
Logistic Regression |
0.114 |
0.386 |
0.813 |
Logistic Regression |
LGBM |
0.151 |
0.588 |
0.886 |
Logistic Regression |
Logistic Regression |
0.112 |
0.389 |
0.825 |
Y(1) - Quantile
Coverage for 95.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.059 |
0.298 |
0.962 |
LGBM |
Logistic Regression |
0.054 |
0.273 |
0.962 |
Logistic Regression |
LGBM |
0.059 |
0.303 |
0.961 |
Logistic Regression |
Logistic Regression |
0.057 |
0.275 |
0.954 |
Coverage for 90.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.059 |
0.250 |
0.914 |
LGBM |
Logistic Regression |
0.054 |
0.229 |
0.911 |
Logistic Regression |
LGBM |
0.059 |
0.254 |
0.920 |
Logistic Regression |
Logistic Regression |
0.057 |
0.231 |
0.898 |
LQTE
The results are based on a location-scale model as described the corresponding Example with \(10,000\) observations.
The non-uniform results (coverage, ci length and bias) refer to averaged values over all quantiles (point-wise confidende intervals).
DoubleML Version 0.8.2
Script lpq_coverage.py
Date 2024-08-14 19:43:50
Total Runtime (seconds) 18405.714146
Python Version 3.12.4
Coverage for 95.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.385 |
1.951 |
0.963 |
2.541 |
0.970 |
LGBM |
Logistic Regression |
0.375 |
1.868 |
0.950 |
2.427 |
0.960 |
Logistic Regression |
LGBM |
0.372 |
1.929 |
0.964 |
2.488 |
0.980 |
Logistic Regression |
Logistic Regression |
0.372 |
1.865 |
0.950 |
2.411 |
0.950 |
Coverage for 90.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.385 |
1.637 |
0.922 |
2.537 |
0.970 |
LGBM |
Logistic Regression |
0.375 |
1.568 |
0.908 |
2.430 |
0.960 |
Logistic Regression |
LGBM |
0.372 |
1.619 |
0.919 |
2.491 |
0.970 |
Logistic Regression |
Logistic Regression |
0.372 |
1.565 |
0.906 |
2.410 |
0.950 |
Local Potential Quantiles
Local Y(0) - Quantile
Coverage for 95.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.232 |
1.396 |
0.973 |
LGBM |
Logistic Regression |
0.227 |
1.341 |
0.977 |
Logistic Regression |
LGBM |
0.221 |
1.372 |
0.981 |
Logistic Regression |
Logistic Regression |
0.206 |
1.321 |
0.978 |
Coverage for 90.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.232 |
1.172 |
0.940 |
LGBM |
Logistic Regression |
0.227 |
1.126 |
0.950 |
Logistic Regression |
LGBM |
0.221 |
1.152 |
0.950 |
Logistic Regression |
Logistic Regression |
0.206 |
1.109 |
0.953 |
Local Y(1) - Quantile
Coverage for 95.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.328 |
1.982 |
0.990 |
LGBM |
Logistic Regression |
0.322 |
1.896 |
0.970 |
Logistic Regression |
LGBM |
0.301 |
1.916 |
0.982 |
Logistic Regression |
Logistic Regression |
0.306 |
1.856 |
0.984 |
Coverage for 90.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.328 |
1.663 |
0.956 |
LGBM |
Logistic Regression |
0.322 |
1.591 |
0.940 |
Logistic Regression |
LGBM |
0.301 |
1.608 |
0.960 |
Logistic Regression |
Logistic Regression |
0.306 |
1.558 |
0.946 |
CVaR Effects
The results are based on a location-scale model as described the corresponding Example with \(5,000\) observations. Remark that the process is not linear.
The non-uniform results (coverage, ci length and bias) refer to averaged values over all quantiles (point-wise confidende intervals).
DoubleML Version 0.8.2
Script cvar_coverage.py
Date 2024-08-14 10:41:51
Total Runtime (seconds) 13995.808331
Python Version 3.12.4
Coverage for 95.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.144 |
0.693 |
0.949 |
0.811 |
0.940 |
LGBM |
Logistic Regression |
0.123 |
0.497 |
0.873 |
0.584 |
0.860 |
Linear |
LGBM |
0.179 |
0.723 |
0.865 |
0.830 |
0.850 |
Linear |
Logistic Regression |
0.152 |
0.541 |
0.815 |
0.619 |
0.800 |
Coverage for 90.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.144 |
0.582 |
0.903 |
0.814 |
0.970 |
LGBM |
Logistic Regression |
0.123 |
0.417 |
0.810 |
0.582 |
0.860 |
Linear |
LGBM |
0.179 |
0.607 |
0.802 |
0.831 |
0.860 |
Linear |
Logistic Regression |
0.152 |
0.454 |
0.712 |
0.617 |
0.790 |
CVaR Potential Quantiles
CVaR Y(0)
Coverage for 95.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.139 |
0.679 |
0.945 |
LGBM |
Logistic Regression |
0.119 |
0.484 |
0.891 |
Linear |
LGBM |
0.175 |
0.691 |
0.859 |
Linear |
Logistic Regression |
0.155 |
0.512 |
0.777 |
Coverage for 90.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.139 |
0.570 |
0.888 |
LGBM |
Logistic Regression |
0.119 |
0.406 |
0.816 |
Linear |
LGBM |
0.175 |
0.580 |
0.769 |
Linear |
Logistic Regression |
0.155 |
0.429 |
0.688 |
CVaR Y(1)
Coverage for 95.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.044 |
0.227 |
0.978 |
LGBM |
Logistic Regression |
0.044 |
0.212 |
0.964 |
Linear |
LGBM |
0.047 |
0.257 |
0.978 |
Linear |
Logistic Regression |
0.049 |
0.230 |
0.941 |
Coverage for 90.0%-Confidence Interval over 100 Repetitions
LGBM |
LGBM |
0.044 |
0.191 |
0.931 |
LGBM |
Logistic Regression |
0.044 |
0.178 |
0.912 |
Linear |
LGBM |
0.047 |
0.216 |
0.931 |
Linear |
Logistic Regression |
0.049 |
0.193 |
0.882 |