Tools for fitting Generalized Linear Models (GLMs) with time dependence (a.k.a. filters).
Features:
- Time delay embedding (basics demo).
- Basis functions (bases demo).
- Follows scikit-learn's API conventions. Can be used with scikit-learn pipelines (see demo).
- Fitting quadratic filter models. (demo).
For a more complete example see multiple_inputs.
Package is on pypi:
pip install glm-utils
- Group lasso. See demo.
- Balancing with imbalanced-learn.
- Generalized Additive Models: pyGAM. See demo.