Puzzling to see such methods - it is proven they don't work

elephaint / pgbm

Probabilistic Gradient Boosting Machines

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Puzzling to see such methods - it is proven they don't work #28

Closed valeman closed 7 months ago

valeman commented 7 months ago

Puzzling to see such methods - it is proven they don't work. Relying on normality assumptions and parametric methods can not produce good prediction intervals.

https://medium.com/@valeman/does-ngboost-work-evaluating-ngboost-against-critical-criteria-for-good-probabilistic-prediction-28c4871c1bab

elephaint commented 7 months ago

I agree! That's why PGBM doesn't rely on a normality assumption.

I'm not sure what the issue is, though?