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unit8co / darts

A python library for user-friendly forecasting and anomaly detection on time series.
https://unit8co.github.io/darts/
Apache License 2.0
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Multivariate Quantile Function Forecaster #957

Open gdevos010 opened 2 years ago

gdevos010 commented 2 years ago

Is your feature request related to a current problem? Please describe. Multivariate Quantile Function Forecaster

The MQF2 distribution loss looks to boost forecasting performance.

hrzn commented 1 year ago

That could perhaps take the form of a new Likelihood object to be placed on top of our existing neural nets (we need to see what's the difference / delta w.r.t. our current QuantileRegression though)