Ensemble Multi-Quantiles: Adaptively Flexible Distribution Prediction for Uncertainty Quantification

1 code implementation • 26 Nov 2022 • Xing Yan, Yonghua Su, Wenxuan Ma

We seek an adaptive balance between the structural integrity and the flexibility for $\mathbb{P}(\mathbf{y}|\mathbf{X}=x)$, while Gaussian assumption results in a lack of flexibility for real data and highly flexible approaches (e. g., estimating the quantiles separately without a distribution structure) inevitably have drawbacks and may not lead to good generalization.

Additive models regression +1