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stanfordmlgroup / ngboost

Natural Gradient Boosting for Probabilistic Prediction
Apache License 2.0
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Very wide prediction intervals with exponential distribution #205

Closed albertotonon closed 3 years ago

albertotonon commented 3 years ago

Thanks a lot to all devs for making this very useful library available to everyone.

I'm considering using this lib in my job to predict the car market values to be able to provide users with a range instead of a point estimation of the value of their car.

By cross-validating I found that using the exponential distribution gives best results (with a large margin), also, using the normal distribution sometimes made training not converge. The problem I'm facing is that, using such distribution, the 95% confidence intervals are very large, for example

>>> exp = stats.expon(scale=10000)
>>> exp.interval(0.95)
(253.17807984289897, 36888.79454113935)

Basically, in my case the predictions are ok but the intervals are really not usable. Is there anything I could do?

alejandroschuler commented 3 years ago

(duplicate of #206)

albertotonon commented 3 years ago

Sorry for duplicating: i think i had an issue with the browser when I created the issue and I didn't notice the issue was actually created.