NGBoost: Natural Gradient Boosting for Probabilistic Prediction

Tony Duan, Avati Anand, Daisy Yi Ding, Khanh K. Thai, Sanjay Basu, Andrew Y. Ng, Alejandro Schuler

Abstract: We present Natural Gradient Boosting (NGBoost), an algorithm for generic probabilistic prediction via gradient boosting. Typical regression models return a point estimate, conditional on covariates...