Monotone Composite Quantile Generalized Additive Model
Project description
mcqgam is a library for fitting a Monotone Composite Quantile Generalized Additive Model using B-splines and ADMM optimization.
The model estimates a conditional quantile function by minimizing the empirical Continuous Ranked Probability Score (CRPS), approximated via weighted Huber-smoothed pinball losses across quantile levels under the non-crossing constraint. Try it here:
Installation
pip install mcqgam
Key Features
- Optimized B-spline construction using De Boor's recursion.
- Built-in structural monotonicity via coefficient constraints.
- Parallelized ADMM solver with fixed-Hessian Newton updates and PAVA.
- Monotone Cubic Spline interpolation for off-grid quantile predictions.
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