Comments (3)
Manjubn777
commented on May 19, 2024
1
Okay, are you planning to add additional loss functions for quantile forecasting near future ?
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trivialfis
commented on May 19, 2024
it's a limitation of the current implementation of quantile regression that we might have quantile crossing. So far, we haven't got any solution yet. If anyone has suggestions for algorithms, please share.
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trivialfis
commented on May 19, 2024
I can't make any promise due to other work at hand, but at the same time, please look into XGBoostLSS, which embeds distributional assumptions into the model.
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