Negative Binomial for regression

[esmit61]

Hi. I would like to suggest if there could be a Negative Binomial distribution for the regression tasks with NGBRegressor, i.e.,

ngb = NGBRegressor(Dist=NegativeBinomial).fit(X_train, Y_train)

[StatMixedML]

@esmit61 You might want to use XGBoostLSS, that supports Negative Binomial Distribution Type I

https://github.com/StatMixedML/XGBoostLSS