Using the NGBoost Algorithm

Natural Gradient Boosting

  • Base learners — The most common choice is decision trees, which tend to work well on structured inputs.
  • Parametric probability distribution — The distribution needs to be compatible with the output type, e.g. Normal distribution for real-valued outputs, Bernoulli for binary outputs.
  • Scoring Rule — Maximum Likelihood Estimation (MLE) is an obvious choice. More robust rules such as Continuous Ranked Probability Score (CRPS) are also suitable.

Predictive Uncertainty Estimation

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