GLM utilities

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.

Installation

Package is on pypi: pip install glm-utils

Useful extensions

• Group lasso. See demo.
• Balancing with imbalanced-learn.
• Generalized Additive Models: pyGAM. See demo.