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Library Request: ngboost #7636

@AlexCatarino

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@AlexCatarino

Expected Behavior

ngboost is a Python library that implements Natural Gradient Boosting, as described in "NGBoost: Natural Gradient Boosting for Probabilistic Prediction". It is built on top of Scikit-Learn, and is designed to be scalable and modular with respect to choice of proper scoring rule, distribution, and base learner.

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