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31671.Fix

doc/whats_new/upcoming_changes/sklearn.metrics/31671.fix.rst

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  • :func:metrics.d2_pinball_score and :func:metrics.d2_absolute_error_score now always use the "averaged_inverted_cdf" quantile method, both with and without sample weights. Previously, the "linear" quantile method was used only for the unweighted case leading the surprising discrepancies when comparing the results with unit weights. Note that all quantile interpolation methods are asymptotically equivalent in the large sample limit, but this fix can cause score value changes on small evaluation sets (without weights). By :user:Virgil Chan <virchan>.