MapieQuantileRegressor with prefit model from Keras/Tensorflow

[dani-vu]

I want to apply CQR with a customized LSTM model created with Tensorflow. However, it does not support Tensorflow models. Is there a workaround or am I missing something?

Thanks!

[LacombeLouis]

Hey @dani-vu,
Thank you for the issue. I believe that if you use the cv="prefit" you should be able to use MapieQuantileRegressor by simply packaging your models as in the issue #340. Note that you need to fit all three models and provide them as follows:

    estimators_: List[RegressorMixin]
        - [0]: Estimator with quantile value of alpha/2
        - [1]: Estimator with quantile value of 1 - alpha/2
        - [2]: Estimator with quantile value of 0.5

Don't hesitate if you have any other question!