Quantile Regression Approaches

[cdeterman]

As a general question, the quantile regression approach is very interesting but are there other algorithms that can be used with quantile regression? I think I only found the loss argument in the LinearRegression and SoftmaxRegression.

[creativedutchmen]

Seconded! It would be super useful to be able to do quantile regression using more than just the linear model, for example for monitoring / outlier detection