How XGboost implement quantile regression


Dear Community,

I want to leverage XGBoost to do quantile prediction- not only forecasting one value, as well as confidence interval. I noticed that this can be done easily via LightGBM by specify loss function equal to quantile loss, I am wondering anyone has done this via XGboost before? My guess is to do this via specify Grads/Hessian in Custom Objective Function, but not sure the right matrix to use here. Can someone help with this? Thanks!



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