incline.l1_trend_filter

incline.l1_trend_filter(df, column_value='value', time_column=None, lambda_param=1.0, difference_order=2, **kwargs)[source]

Estimate a piecewise-polynomial trend with sparse changes in slope.

Parameters:

  • df (pd.DataFrame) – Time series data.

  • column_value (str) – Column holding the values.

  • time_column (str | None) – Numeric time column.

  • lambda_param (float) – Penalty on the differences; larger means fewer kinks.

  • difference_order (int) – Order of the penalized difference. Two gives a piecewise-linear trend.

  • **kwargs (Any) – Uncertainty options; see estimate().

Returns:

The input frame plus the estimate columns.

Return type:

pd.DataFrame