Time-series generalized additive model (tsgam)

Time series generalized additive model (tsgam) is a package for fitting "generalized addive models" (GAMs) augmented with time-dependent features. The idea is to fit a statistical model that estimates a target time-series based on linear or nonlinear responses to exogenous variables, features encoding one or more natural periodicies, and a features encoding long-term trends. For nonlinear exogenous variables, we model the response with natural cubic basis splines. The (multi-)periodic components are modeled with trucated Fourier series, plus cross terms when multiple periods are present (e.g., daily and year periodicities). We currently have long-term trend models for linear trends and monotonic nonlinear trends. Nonlinear trends can now be configured explicitly as nonlinear_decreasing or nonlinear_increasing, while legacy nonlinear remains a backward-compatible alias for the decreasing form.

Installation

uv sync

Documentation

Building Documentation Locally

To build the documentation locally:

1. Install documentation dependencies:

   uv sync --group docs

2. Generate documentation:

   python generate_docs.py

   Or to open in browser after building:

   python generate_docs.py --open

3. View the documentation: Open docs/_build/html/index.html in your browser.

Alternative: Using Make

You can also use the Makefile in the docs directory:

cd docs
make html

Development

Running Tests

uv run pytest

Running Tests with Coverage

uv run pytest --cov=tsgam_estimator --cov=load_model_estimator --cov-report=html

License

BSD 3-Clause License - see LICENSE for details.

Contributors

See CONTRIBUTORS for a list of contributors.