ForecastingQuantiles
This repo is very much a lighter version of https://github.com/ig248/deepquantiles that I used for my less demanding needs and for which I added some documentation for me to look back at.
The accompanying blog posts describe the ins and outs of the quantile forecasts. Such forecasts are used to estimate the different quantiles of a prediction interval and better grasp the underlying uncertainty around the usual point forecast E[Y|X].
This set up is particularly useful for many related time series as we can expect the similar behaviors to provide additional data to learn the forecast uncertainty. If there is anything interesting to you here then please give a star to the original creator.