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[ENH] multiple quantile regression #107

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Ram0nB opened this issue Oct 5, 2023 · 3 comments · Fixed by #108
Closed

[ENH] multiple quantile regression #107

Ram0nB opened this issue Oct 5, 2023 · 3 comments · Fixed by #108
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feature request New feature or request implementing algorithms Implementing algorithms, estimators, objects native to skpro module:regression probabilistic regression module

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@Ram0nB
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Ram0nB commented Oct 5, 2023 •
edited by fkiraly
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Is your feature request related to a problem? Please describe.

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.

Describe the solution you'd like

New Skpro regressor that wraps multiple quantile regressors and supports probabilistic predictions from wrapped regressors.

Describe alternatives you've considered

None, as the proposed solution is already discussed in Sktime issue sktime/sktime#5357
@Ram0nB Ram0nB added the feature request New feature or request label Oct 5, 2023
@Ram0nB Ram0nB mentioned this issue Oct 5, 2023
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@fkiraly fkiraly added module:regression probabilistic regression module implementing algorithms Implementing algorithms, estimators, objects native to skpro labels Oct 5, 2023
@fkiraly
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fkiraly commented Oct 6, 2023 •
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for reference, the proposed is (presented in clearer and more precise language by @Ram0nB) this line in on the wishlist/roadmap #7:

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@fkiraly
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fkiraly commented Oct 12, 2023

maybe out of scope for the current PR; but one question, @Ram0nB - there are different ways to deal with quantile crossing. Should we, and if yes how, take these into account?

@Ram0nB
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Ram0nB commented Oct 16, 2023

Good one. We could provide the user a "method" parameter similar to Sktime's Imputer, provide the user a quantile_crossing_callable similar to Sktime's FunctionTransformer, or both. What are your thoughts on this @fkiraly ? Maybe we can open an enhancement issue for this for now?

fkiraly pushed a commit that referenced this issue Oct 20, 2023
@Ram0nB
[ENH] multiple quantile regression (#108)
a9fae90 
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.
@fkiraly fkiraly mentioned this issue Oct 21, 2023
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feature request New feature or request implementing algorithms Implementing algorithms, estimators, objects native to skpro module:regression probabilistic regression module
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[ENH] multiple quantile regression Ram0nB/skpro
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@fkiraly @Ram0nB