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stanfordmlgroup / ngboost

Natural Gradient Boosting for Probabilistic Prediction
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Robust distributions (Student's t, Cauchy) #189

Closed angeldroth closed 3 years ago

angeldroth commented 3 years ago

Outlier resistance is a big use case in many fields of study, and over-dispersed normal distributions can help resist against them.

astrogilda commented 3 years ago

out of curiousity, could you give examples of applications where one might prefer student's t or cauchy over normal?

angeldroth commented 3 years ago

Any time you need robust regression (i.e. the conditional distribution has fat tails). The application I am most familiar with is financial data.