[losses] Add Scaled QL and Scaled MQL

[marcozanotti]

Description

Hi,
it would be beneficial to expand the losses with the two official metrics used in the M5 Uncertainty competition, namely the Scaled Quantile Loss and the Scaled Multi-Quantile Loss.

From this reference https://www.sciencedirect.com/science/article/pii/S0169207021001722
the scaling factor is simply the in-sample, one-step-ahead mean absolute error of the Naive method. However, a more general version could be implemented using the Seasonal Naive method as is the case for MASE and RMSSE.

I can try to make a PR with the basis on this if you like.

Thanks!

Use case

No response

[marcozanotti]

Hi,
any feedback on this? Would it be possible to add the two metrics in a future release?
Thank you for your work.

[jmoralez]

Hey. We can't work on it right now but if you want you can open a PR and we'll review.

[marcozanotti]

Hi @jmoralez , ok I'll try to work on that.