I’m currently using a XGBoost regression model to output a single prediction. However, I want to try output prediction intervals instead. I have read online it is possible with XGBoost and Quantile regression, but I haven’t found any stable tutorials/materials online supporting this.
I know it is much easier to implement with LightGBM, however, my models performance drops when I switch over to LightGBM.
So my question is are Prediction Intervals with XGBoost possible and how? any information is much appreciated