The Quantile Trick

When you're doing a regression you're sometimes not so much interested in predicting the most "likely" value, sometimes you're more interested in predicting a spectrum of likely values. Put differently: you may be interested in predicting the quantiles of a distribution, instead of the median value. In this video we'll explain the quantile trick, which involves a pinball loss, to deal with these situations.

Video Chapters:
00:00 Drawing a dataset
00:58 Predicting Quantiles
03:04 Pinball Loss
07:06 Interactive Demo
09:45 Comparing Models

If you're interested in drawing data yourself, check out this project:
https://github.com/koaning/drawdata

The code for all of our videos can be found on this Github repository:
https://github.com/probabl-ai/youtube-appendix/

The code for this specific episode can be found here:
https://github.com/probabl-ai/youtube-appendix/blob/main/02-quantile/notebook.ipynb

This whiteboard video is part of the open efforts over at probabl. To learn more you can check out website or reach out to us on social media.

Website: https://probabl.ai/
LinkedIn: https://www.linkedin.com/company/probabl
Twitter: https://x.com/probabl_ai

We also host a podcast called Sample Space, which you can find on your favourite podcast player. All the links can be found here:
https://rss.com/podcasts/sample-space/

If you're keen to see more videos like this, you can follow us over at @probabl_ai.

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