Feature Request: simple time series example

[azev77]

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:

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:

t	Y_t+1 (=GDP_Growth_t+1)	x1_t (=Y_t)	x2_t (=NFCI_t)
1973-01-01	4.6	10.2	0.46
1973-04-01	-2.2	4.6	0.91
1973-07-01	3.8	-2.2	1.67
1973-10-01	-3.3	3.8	1.79
1974-01-01	1.1	-3.3	0.71
1974-04-01	-3.8	1.1	2.64
1974-07-01	-1.6	-3.8	4.24
1974-10-01	-4.7	-1.6	2.57
1975-01-01	3.1	-4.7	0.94
1975-04-01	6.8	3.1	-0.29
1975-07-01	5.5	6.8	-0.5
1975-10-01	9.3	5.5	-0.25
1976-01-01	3.1	9.3	-0.81
1976-04-01	2.1	3.1	-0.75
1976-07-01	3	2.1	-0.84
1976-10-01	4.7	3	-0.8
1977-01-01	8.1	4.7	-0.88
1977-04-01	7.3	8.1	-0.62
1977-07-01	0	7.3	-0.44
1977-10-01	1.4	0	-0.17
1978-01-01	16.5	1.4	-0.11
1978-04-01	4	16.5	0.38
1978-07-01	5.5	4	0.54
1978-10-01	0.8	5.5	1.54
1979-01-01	0.5	0.8	0.83
1979-04-01	2.9	0.5	0.58
1979-07-01	1	2.9	1.36
1979-10-01	1.3	1	2.16
1980-01-01	-7.9	1.3	2.22
1980-04-01	-0.6	-7.9	2.79
1980-07-01	7.6	-0.6	0.93
1980-10-01	8.5	7.6	2.22
1981-01-01	-2.9	8.5	2.24
1981-04-01	4.7	-2.9	2.32
1981-07-01	-4.6	4.7	3.1
1981-10-01	-6.5	-4.6	2.35
1982-01-01	2.2	-6.5	1.87
1982-04-01	-1.4	2.2	2.27
1982-07-01	0.4	-1.4	2.84
1982-10-01	5.3	0.4	1.48
1983-01-01	9.4	5.3	0.14
1983-04-01	8.1	9.4	-0.14
1983-07-01	8.5	8.1	-0.11
1983-10-01	8.2	8.5	0.02
1984-01-01	7.2	8.2	-0.14
1984-04-01	4	7.2	0.6
1984-07-01	3.2	4	0.66
1984-10-01	4	3.2	-0.03
1985-01-01	3.7	4	-0.41
1985-04-01	6.4	3.7	-0.43
1985-07-01	3	6.4	-0.3
1985-10-01	3.8	3	-0.3
1986-01-01	1.9	3.8	-0.27
1986-04-01	4.1	1.9	-0.4
1986-07-01	2.1	4.1	-0.35
1986-10-01	2.8	2.1	-0.43
1987-01-01	4.6	2.8	-0.42
1987-04-01	3.7	4.6	0.25
1987-07-01	6.8	3.7	0.02
1987-10-01	2.3	6.8	0.76
1988-01-01	5.4	2.3	0.21
1988-04-01	2.3	5.4	0.16
1988-07-01	5.4	2.3	0.27
1988-10-01	4.1	5.4	0.12
1989-01-01	3.2	4.1	0.3
1989-04-01	3	3.2	0.39
1989-07-01	0.9	3	0.19
1989-10-01	4.5	0.9	0.08
1990-01-01	1.6	4.5	0.02
1990-04-01	0.1	1.6	-0.04
1990-07-01	-3.4	0.1	0.04
1990-10-01	-1.9	-3.4	0.37
1991-01-01	3.1	-1.9	0.13
1991-04-01	1.9	3.1	-0.26
1991-07-01	1.8	1.9	-0.47
1991-10-01	4.8	1.8	-0.55
1992-01-01	4.5	4.8	-0.61
1992-04-01	3.9	4.5	-0.76
1992-07-01	4.1	3.9	-0.8
1992-10-01	0.8	4.1	-0.63
1993-01-01	2.4	0.8	-0.83
1993-04-01	2	2.4	-0.9
1993-07-01	5.4	2	-1
1993-10-01	4	5.4	-0.91
1994-01-01	5.6	4	-0.89
1994-04-01	2.4	5.6	-0.68
1994-07-01	4.6	2.4	-0.72
1994-10-01	1.4	4.6	-0.5
1995-01-01	1.4	1.4	-0.55
1995-04-01	3.5	1.4	-0.65
1995-07-01	2.9	3.5	-0.64
1995-10-01	2.7	2.9	-0.68
1996-01-01	7.2	2.7	-0.7
1996-04-01	3.7	7.2	-0.64
1996-07-01	4.3	3.7	-0.66
1996-10-01	3.1	4.3	-0.68
1997-01-01	6.2	3.1	-0.64
1997-04-01	5.2	6.2	-0.61
1997-07-01	3.1	5.2	-0.61
1997-10-01	4	3.1	-0.47
1998-01-01	3.9	4	-0.59
1998-04-01	5.3	3.9	-0.59
1998-07-01	6.7	5.3	-0.39
1998-10-01	3.2	6.7	-0.02
1999-01-01	3.3	3.2	-0.3
1999-04-01	5.1	3.3	-0.41
1999-07-01	7.1	5.1	-0.18
1999-10-01	1.2	7.1	-0.14
2000-01-01	7.8	1.2	-0.21
2000-04-01	0.5	7.8	-0.04
2000-07-01	2.3	0.5	-0.19
2000-10-01	-1.1	2.3	-0.15
2001-01-01	2.1	-1.1	-0.23
2001-04-01	-1.3	2.1	-0.37
2001-07-01	1.1	-1.3	-0.44
2001-10-01	3.7	1.1	-0.32
2002-01-01	2.2	3.7	-0.44
2002-04-01	2	2.2	-0.59
2002-07-01	0.3	2	-0.37
2002-10-01	2.1	0.3	-0.37
2003-01-01	3.8	2.1	-0.45
2003-04-01	6.9	3.8	-0.69
2003-07-01	4.8	6.9	-0.65
2003-10-01	2.3	4.8	-0.69
2004-01-01	3	2.3	-0.79
2004-04-01	3.7	3	-0.74
2004-07-01	3.5	3.7	-0.71
2004-10-01	4.3	3.5	-0.73
2005-01-01	2.1	4.3	-0.73
2005-04-01	3.4	2.1	-0.63
2005-07-01	2.3	3.4	-0.63
2005-10-01	4.9	2.3	-0.61
2006-01-01	1.2	4.9	-0.66
2006-04-01	0.4	1.2	-0.66
2006-07-01	3.2	0.4	-0.63
2006-10-01	0.2	3.2	-0.68
2007-01-01	3.1	0.2	-0.72
2007-04-01	2.7	3.1	-0.64
2007-07-01	1.4	2.7	-0.05
2007-10-01	-2.7	1.4	0.32
2008-01-01	2	-2.7	0.6
2008-04-01	-1.9	2	0.59
2008-07-01	-8.2	-1.9	0.89
2008-10-01	-5.4	-8.2	2.75
2009-01-01	-0.5	-5.4	1.84
2009-04-01	1.3	-0.5	0.91
2009-07-01	3.9	1.3	0.28
2009-10-01	1.7	3.9	-0.02
2010-01-01	3.9	1.7	-0.27
2010-04-01	2.7	3.9	-0.26
2010-07-01	2.5	2.7	-0.27
2010-10-01	-1.5	2.5	-0.42
2011-01-01	2.9	-1.5	-0.48
2011-04-01	0.8	2.9	-0.5
2011-07-01	4.6	0.8	-0.15
2011-10-01	2.7	4.6	0.01
2012-01-01	1.9	2.7	-0.34
2012-04-01	0.5	1.9	-0.37
2012-07-01	0.1	0.5	-0.48
2012-10-01	2.8	0.1	-0.63
2013-01-01	0.8	2.8	-0.73
2013-04-01	3.1	0.8	-0.75
2013-07-01	4	3.1	-0.72
2013-10-01	-1.2	4	-0.87
2014-01-01	4	-1.2	-0.9
2014-04-01	5	4	-0.93
2014-07-01	2.3	5	-0.91
2014-10-01	2	2.3	-0.81
2015-01-01	2.6	2	-0.71
2015-04-01	2	2.6	-0.8
2015-07-01	0.9	2	-0.72
2015-10-01	0.8	0.9	-0.71
2016-01-01	1.4	0.8	-0.61
2016-04-01	3.2	1.4	-0.67