SGLM

Segmented GLM

Convenience functions to segement data and leverages GLM.jl to create separate linear models.

Leverages Generalized Linear Model (https://github.com/JuliaStats/GLM.jl) to model individual segments of a curve.

Usage

• Use segment to break a DataFrame or a TimeSeries into segments
  function segment(df::DataFrame, segments::Int, breakpoints) where if present breakpoints are an array of rows to use as breaks
  function segment(ts:TimeSeries, period) where period is (Year, Quarter, Month, Week)
• Use slm to call lm on each segment
  slm(f::FormulaTerm, v::Vector)

Examples

• MarketExample

Note: Under Development