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Bias correction for TransformedTargetRegressor #15881

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@lorentzenchr

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@lorentzenchr
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Description

If one is interested in predicting the (conditional on X) expected value of a target y, aka mean, then TransformedTargetRegressor should use a bias corrected inverse transform.

It would be nice to have an option for bias correction in TransformedTargetRegressor. At least, I would mention this in the user guide.

References

https://robjhyndman.com/hyndsight/backtransforming/

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