Hi, I'm using NHITS and I need to forecast the expected value and to have prediction intervals. I was thinking about using the MQLoss, but I'll only obtain the median and the prediction intervals but not the expected value (mean). Do I need to do 2 models one with MAE loss and one with MQLoss ?
Also, is it possible to apply conformal prediction instead of using a distribution as a loss ?
Also, is it possible to use MASE and sCRPS as loss for NHITS ? I have tried, but it doesn't seems to work.