Would it be possible to provide a simple time-series example?
For example, a recent paper makes 1 year ahead predictions for the distribution of GDP growth, with current GDP growth & NFCI as conditioning variables. Their data & Matlab code is here.
Here are the predicted distributions:
To rephrase:
target variable y_{t+1} = GDPGrowth{t+1}
predictors X_t =(y_t, NFCI_t) = (GDPGrowth{t}, NFCIt)
Goal: predict the conditional distribution P(y{t+1} | y_{t}, NFCI_t )
Their strategy is to use quantile regression. Ngboost.py would be amazing for this!
Hi and thank you for this awesome package!
Would it be possible to provide a simple time-series example? For example, a recent paper makes 1 year ahead predictions for the distribution of GDP growth, with current GDP growth & NFCI as conditioning variables. Their data & Matlab code is here.
Here are the predicted distributions:![image](https://user-images.githubusercontent.com/7883904/97938817-6db37a00-1d50-11eb-8df4-f5f9b1ce336f.png)
To rephrase: target variable y_{t+1} = GDPGrowth{t+1} predictors X_t =(y_t, NFCI_t) = (GDPGrowth{t}, NFCIt) Goal: predict the conditional distribution P(y{t+1} | y_{t}, NFCI_t ) Their strategy is to use quantile regression. Ngboost.py would be amazing for this!
Here is the publicly available quarterly data: