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feat: adding support for getting estimator based on quantile #2716

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merged 8 commits into from
Mar 7, 2025

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madtoinou
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@madtoinou madtoinou commented Mar 5, 2025

Checklist before merging this PR:

  • Mentioned all issues that this PR fixes or addresses.
  • Summarized the updates of this PR under Summary.
  • Added an entry under Unreleased in the Changelog.

Fixes #2596.

Summary

  • added logic to retrieve estimator based on quantile in addition to the horizon and target_dim
  • added the corresponding tests

Other Information

  • The interactions between get_multioutput_regressor and get_estimator is a bit ambiguous, we could maybe simplify it.
  • Interestingly, it seems to be possible to pass both quantiles=[...] with likelihood="poisson" without raising an exception. We abuse this mechanism in the tests but it should probably not be possible in the first place...

@madtoinou madtoinou requested a review from dennisbader as a code owner March 5, 2025 11:02
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codecov bot commented Mar 5, 2025

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 94.10%. Comparing base (fabba0a) to head (b5ce31e).
Report is 2 commits behind head on master.

Additional details and impacted files
@@            Coverage Diff             @@
##           master    #2716      +/-   ##
==========================================
- Coverage   94.18%   94.10%   -0.08%     
==========================================
  Files         141      141              
  Lines       15591    15596       +5     
==========================================
- Hits        14684    14677       -7     
- Misses        907      919      +12     

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Looks great, thanks a lot @madtoinou

As discussed, let's let get_estimator handle all the logic and remove get_multioutput_estimators.

Then all good to be merged :)

@madtoinou madtoinou requested a review from dennisbader March 7, 2025 14:26
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Perfect 💯

@dennisbader dennisbader merged commit f76aedf into master Mar 7, 2025
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@dennisbader dennisbader deleted the feat/get_estimator_quantile branch March 7, 2025 15:28
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[BUG] Can't access underlying models in multi-quantile regression
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