an annoying thing in this context is that you can't run quantile regressions in XGBoost (at least not from what I can gather,) so you'd either have to change to another gradient boosting model (easier said than done if you're in production) or run the former approach.
an annoying thing in this context is that you can't run quantile regressions in XGBoost (at least not from what I can gather,) so you'd either have to change to another gradient boosting model (easier said than done if you're in production) or run the former approach.