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2018-05 - 1/1

Quantile regression with scikit-learn.

2018-05-07

scikit-learn does not have any quantile regression. statsmodels does have one QuantReg but I wanted to try something I did for my teachings Régression Quantile 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 QuantileLinearRegression.

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