diff --git a/pts/model/__init__.py b/pts/model/__init__.py
new file mode 100644
index 0000000..fdf03e8
--- /dev/null
+++ b/pts/model/__init__.py
@@ -0,0 +1,3 @@
+from pts.model.estimator import Estimator
+from pts.model.predictor import Predictor
+from pts.model.forecast import Forecast
diff --git a/pts/model/estimator.py b/pts/model/estimator.py
new file mode 100644
index 0000000..3be2970
--- /dev/null
+++ b/pts/model/estimator.py
@@ -0,0 +1,128 @@
+from abc import ABC, abstractmethod
+
+import numpy as np
+
+from pts.dataset.common import Dataset
+from pts.dataset import TrainDataLoader
+from pts.feature import Transformation
+
+import torch
+import torch.nn as nn
+
+from .predictor import Predictor
+
+
+class Estimator(ABC):
+    prediction_length: int
+    freq: str
+
+    @abstractmethod
+    def train(self, training_data: Dataset) -> Predictor:
+        pass
+
+
+class DummyEstimator(Estimator):
+    """
+    An `Estimator` that, upon training, simply returns a pre-constructed
+    `Predictor`.
+
+    Parameters
+    ----------
+    predictor_cls
+        `Predictor` class to instantiate.
+    **kwargs
+        Keyword arguments to pass to the predictor constructor.
+    """
+    def __init__(self, predictor_cls: type, **kwargs) -> None:
+        self.predictor = predictor_cls(**kwargs)
+
+    def train(self, training_data: Dataset) -> Predictor:
+        return self.predictor
+
+
+class TrainOutput(NamedTuple):
+    transformation: Transformation
+    trained_net: nn.Module
+    predictor: Predictor
+
+
+class PTSEstimator(Estimator):
+    def __init__(self, trainer: Trainer,
+                 float_type: np.dtype = np.float32) -> None:
+        self.trainer = trainer
+        self.float_type = float_type
+        
+
+    @abstractmethod
+    def create_transformation(self) -> Transformation:
+        """
+        Create and return the transformation needed for training and inference.
+
+        Returns
+        -------
+        Transformation
+            The transformation that will be applied entry-wise to datasets,
+            at training and inference time.
+        """
+        pass
+
+    @abstractmethod
+    def create_training_network(self, device: torch.device) -> nn.Module:
+        """
+        Create and return the network used for training (i.e., computing the
+        loss).
+
+        Returns
+        -------
+        HybridBlock
+            The network that computes the loss given input data.
+        """
+        pass
+
+    @abstractmethod
+    def create_predictor(self, transformation: Transformation,
+                         trained_network: nn.Module) -> Predictor:
+        """
+        Create and return a predictor object.
+
+        Returns
+        -------
+        Predictor
+            A predictor wrapping a `HybridBlock` used for inference.
+        """
+        pass
+
+    def train_model(self, training_data: Dataset) -> TrainOutput:
+        transformation = self.create_transformation()
+
+        transformation.estimate(iter(training_data))
+
+        training_data_loader = TrainDataLoader(
+            dataset=training_data,
+            transform=transformation,
+            batch_size=self.trainer.batch_size,
+            num_batches_per_epoch=self.trainer.num_batches_per_epoch,
+            device=self.trainer.device,
+            float_type=self.float_type,
+        )
+
+        # ensure that the training network is created on the same device
+        trained_net = self.create_training_network(self.device)
+
+        self.trainer(
+            net=trained_net,
+            input_names=get_hybrid_forward_input_names(trained_net),
+            train_iter=training_data_loader,
+        )
+
+        with self.trainer.ctx:
+            # ensure that the prediction network is created within the same MXNet
+            # context as the one that was used during training
+            return TrainOutput(
+                transformation=transformation,
+                trained_net=trained_net,
+                predictor=self.create_predictor(transformation, trained_net),
+            )
+
+    def train(self, training_data: Dataset) -> Predictor:
+        return self.train_model(training_data).predictor
diff --git a/pts/model/forecast.py b/pts/model/forecast.py
new file mode 100644
index 0000000..3d6ec7d
--- /dev/null
+++ b/pts/model/forecast.py
@@ -0,0 +1,2 @@
+class Forecast():
+    pass
\ No newline at end of file
diff --git a/pts/model/predictor.py b/pts/model/predictor.py
new file mode 100644
index 0000000..6cb2d7c
--- /dev/null
+++ b/pts/model/predictor.py
@@ -0,0 +1,16 @@
+from abc import ABC, abstractmethod
+from typing import Iterator
+
+from pts.dataset.common import Dataset
+from .forecast import Forecast
+from .predictor import Predictor
+
+class Predictor(ABC):
+    def __init__(self, prediction_length: int, freq: str) -> None:
+        self.prediction_length = prediction_length
+        self.freq = freq
+
+    @abstractmethod
+    def predict(self, dataset: Dataset, **kwargs) -> Iterator[Forecast]:
+        pass
+