multiplicative quantile regression mode #35
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FelixWick
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lbventura
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…aintenance-tornado Fix/Blue-Yonder-OSS#35 maintenance tornado
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Implementation of quantile regression using a numerical minimization (via scipy) of a quantile loss.
solving #2
For now, this is done for multiplicative mode, i.e., non-negative target values, only (simply via a multiplicative model used in the loss function), but a generalization to additive mode is trivial. However, I would suggest to do such a generalization in a separate pull request (for #32 ) introducing a generic mode (using the structure implemented in this pull request) allowing for numerical minimization of arbitrary losses (i.e., also allowing likelihoods for example).