Probabilistic Forecast

Question

Probabilistic Forecast

1991jhf opened this issue a year ago · comments

Is there any plan to support probabilistic forecast?
Similar project below:
https://github.com/stanfordmlgroup/ngboost
https://github.com/StatMixedML/XGBoostLSS
https://github.com/StatMixedML/LightGBMLSS

Jeremie Desgagne-Bouchard · Answer 1 · Sat Jul 01 2023 03:00:56 GMT+0800 (China Standard Time)

The EvoTreeMLE constructor supports predicitons for both Gaussian and Logistic probabilistic distrbutions (predicitons returns the estimates for each of the 2 parameters of these distributions). Otherwise, there are the deviance maximum likelihood that is used for the gamma and tweedie losses (available losses with EvoTreeRegressor) and poisson (used in EvoTreeCount).

I didn't have any further probabilistic initiatives on the roadmap. For other probabilistic needs, you may want to consider https://github.com/JuliaTrustworthyAI/ConformalPrediction.jl, which already provides usage examples with EvoTrees.

If there's a specific use case that isn't adressed, feel free to provide more details and about it.

JerryJi · Answer 2 · Tue Jul 04 2023 14:27:17 GMT+0800 (China Standard Time)

Thank you! EvoTreeMLE is exactly what I need.