2018-05-07 Quantile regression with scikit-learn.#
scikit-learn does not have any quantile regression.
statsmodels does have one
but I wanted to try something I did for my teachings
based on Iteratively reweighted least squares.
I thought it was a good case study to turn a simple algorithm into
a learner scikit-learn can reused in a pipeline.
The notebook Quantile Regression demonstrates it
and it is implemented in