META Quantile Regression

[lorentzenchr]

This meta issue aims at giving an overview/summary of all quantile related issues and pull requests. This may help to coordinate future work.

• metrics: Add quantile loss as metric Add quantile loss as metric #18911, done in ENH Add mean_pinball_loss metric for quantile regression #19415
• linear_model: Add quantile regression Add linear quantile regression #3148, also Robust versions of Linear Regression / Lasso / ElasticNet using LAD (L1-loss) #13612
  PR: [MRG] Add quantile regression #9978 and [WIP] Add quantile regression (Continuation) #16343
• tree and ensemble (based on DecisionTreeRegressor): GBM Prediction Interval #4210, Prediction interval for Random Forests #4768, Quantile Regression Forest [Feature request] #11086 RandomForestRegressor quantile Criterion #18540
• HistGradientBoostingRegressor: HistGradientBoostingRegressor and quantile loss function #17955

Also related is naming of losses #18248, and a possible private loss function module #15123.