Extend to count/binary data using GLMs?

[sdwfrost]

I don't know much about ESNs beyond the basics, but I was wondering whether there are any barriers to switching from linear models to generalized linear models to allow time series of e.g. count data to be considered? This could involve using MLJGLMInterface.jl, though it doesn't have penalized models, or GLMNet.jl, which does have penalized models but may be more work to link, given the current codebase links to MLJLinearModels.jl.

[MartinuzziFrancesco]

From a theoretical point of view I don't see any barriers to implement support for generalized linear models. Giving support for both the packages could be doable regardless of current implementations, I think I will delve into it in the next week. Do you already have some data you wanted to test this on?

[sdwfrost]

Hi @MartinuzziFrancesco

Thanks for looking into this. I've put a toy example in a gist here.

[MartinuzziFrancesco]

Thanks for the example, I should be able to properly tackle this in the next days!

[sdwfrost]

I've updated the gist to include some dummy data in binary format too.