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stanfordmlgroup / ngboost

Natural Gradient Boosting for Probabilistic Prediction
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Probabilistic quantile (P25) forecast - How to ? #195

Closed nsankar closed 3 years ago

nsankar commented 3 years ago

Hi,

From an estimated forecast distribution (using ngboost regression), how can I get only the p25 (25th percentile) forecast? Can you guide with a code snippet and any other considerations to make . Thank you in advance.

avati commented 3 years ago

You could do something like this: 

dists = ngb.pred_dist(X_test)
p25 = dists.ppf(0.25)
nsankar commented 3 years ago

thanks @avati