docs: add linear quantile regression recipe - #1971
Conversation
Merging this PR will not alter performance
Comparing Footnotes
|
22a1269 to
192dd1a
Compare
|
I’ve updated this PR following the discussion in #1423: The PR is now recipe-only and covers both approaches discussed there:
It also demonstrates conf.RegressionJackknife as the current estimator-agnostic interval approach, while clarifying that its intervals are marginal rather than feature-conditional. No new estimator or public API is introduced here. I’m leaving the generic feature-conditional solution as a separate follow-up problem. The PR is updated and ready for review. |
Addresses #1423.
This replaces the standalone
QuantileRegressorimplementation with a documentation recipe using River's existing quantile-loss support.The recipe shows how to perform online linear quantile regression with:
linear_model.LinearRegression(loss=optim.losses.Quantile(...))It demonstrates conditional quantiles at multiple levels on a synthetic stream with known quantiles, and clarifies the distinction between fitted quantiles and calibrated prediction intervals.
It also documents the model-specific tree/leaf quantile approach conceptually: a tree partitions the feature space into leaves, and a quantile-aware leaf can estimate quantiles from the target distribution observed in that region.
Finally, it demonstrates
conf.RegressionJackknifeas River's existing estimator-agnostic interval approach, while noting that its intervals are marginal rather than feature-conditional.No new estimator or public API is introduced. A generic feature-conditional interval or quantile method remains a separate problem.