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[ENH] multiple quantile regression (#108)
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Fixes #107

For quantile regression, often more than one quantile probability is of
interest. However, existing Sklearn compatible quantile regressors
always fit and predict a single quantile probability. To the best of my
knowdlegde, there is no standardized way to integrate multiple quantile
regression with Sktime/Skpro probabilistic prediction methods such as
predict_quantiles/predict_intervals. This PR adds new Skpro regressor
that wraps multiple quantile regressors and supports probabilistic
predictions from wrapped regressors.
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Ram0nB authored Oct 20, 2023
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11 changes: 11 additions & 0 deletions .all-contributorsrc
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"ideas",
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"name": "Ramon Bussing",
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"profile": "https://github.com/Ram0nB",
"contributions": [
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}
8 changes: 8 additions & 0 deletions docs/source/api_reference/regression.rst
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Expand Up @@ -63,6 +63,14 @@ take one or multiple ``sklearn`` estimators and adda probabilistic prediction mo

ResidualDouble

.. currentmodule:: skpro.regression.multiquantile

.. autosummary::
:toctree: auto_generated/
:template: class.rst

MultipleQuantileRegressor

Base
----

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