util.fourier_features()

Build a Fourier seasonality design matrix.

Usage

Source

util.fourier_features(
    duration,
    period,
    num_terms,
)

Parameters

duration: int

Number of time steps.

period: float

Seasonal period (in time steps).

num_terms: int

Number of harmonics; the output has 2 * num_terms columns (sine then cosine).

Returns

Float[Array, "duration two_num_terms"]

The design matrix of shape (duration, 2 * num_terms).