Wrapper for the Generalized Additive Model in package mgcv to conform with tsmodels output and framework. It is a more abstract/general layer than other models in tsmodels due to the nature of GAMs.
The package can be installed from the tsmodels github repo.
remotes::install_github("tsmodels/tsgam", dependencies = TRUE)A short vignette is available here.
- ver 0.3.0: added a multi-GAM model (mgam) with optional pooling argument and custom predict function to include copula based dependency in the predictive distribution. The input for this type of model is a data.table with series and index identifiers.