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 use MASE and sCRPS as loss for NHITS ? I have tried, but it doesn't seems to work.

Hello, In this case, the median is the expected value. You can refer to this tutorial on Probabilistic Forecasts. As for the other losses, can you share how you tried to use them?

@Marco I'm not sure to understand what you mean in this case, because the mean and the median is 2 different measures. When using MQLoss we obtain by default the median and then the level of our choice. Do I miss something ? My question was how to obtain the mean and the prediction intervals. I can take the median as the expected value, but I need to check in my case which one is better.

I'm not sure you can get the mean using MQLoss. Even by training another model, say by using the MAE, the returned forecast is not an average either, and you will probably get different values since you are using another loss function. That's why I say that in the case where we use MQLoss, the median is the actual forecast or the expected value.