engression

Engression Modelling

Last update: 22 November 2023

Copyright license: MIT license, File License

Software version identifier: 0.1.1, 0.1.3, 0.1.4

Description

Fits engression models for nonlinear distributional regression. Predictors and targets can be univariate or multivariate. Functionality includes estimation of conditional mean, estimation of conditional quantiles, or sampling from the fitted distribution. Training is done full-batch on CPU (the python version offers GPU-accelerated stochastic gradient descent). Based on "Engression: Extrapolation for nonlinear regression?" by Xinwei Shen and Nicolai Meinshausen (2023). Also supports classification (experimental). <arXiv:2307.00835>.

Cites work

Engression: Extrapolation for Nonlinear Regression?

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