diff --git a/src/gluonts/transform/sampler.py b/src/gluonts/transform/sampler.py
index ec4de86b10..cdf95a091d 100644
--- a/src/gluonts/transform/sampler.py
+++ b/src/gluonts/transform/sampler.py
@@ -11,14 +11,93 @@
 # express or implied. See the License for the specific language governing
 # permissions and limitations under the License.
 
-from typing import Tuple
+from dataclasses import dataclass
+from typing import Tuple, Optional, Union
 
 import numpy as np
+import pandas as pd
 from pydantic import BaseModel
 
 from gluonts.dataset.stat import ScaleHistogram
 
 
+def clip(value, low, high):
+    """
+    Clip ``value`` between ``low`` and ``high``, included.
+    """
+    return max(low, min(high, value))
+
+
+@dataclass
+class Range:
+    start: Optional[Union[int, pd.Period]] = None
+    stop: Optional[Union[int, pd.Period]] = None
+    step: int = 1
+
+    def _start_as_int(self, start: pd.Period, length: int) -> int:
+        if self.start is None:
+            return 0
+        if isinstance(self.start, pd.Period):
+            return int((self.start - start) / start.freq)
+        if self.start < 0:
+            return length + self.start
+        return self.start
+
+    def _stop_as_int(self, start: pd.Period, length: int) -> int:
+        if self.stop is None:
+            return length
+        if isinstance(self.stop, pd.Period):
+            return int((self.stop - start) / start.freq)
+        if self.stop < 0:
+            return length + self.stop
+        return self.stop
+
+    def get(self, start: pd.Period, length: int) -> range:
+        return range(
+            clip(self._start_as_int(start, length), 0, length),
+            clip(self._stop_as_int(start, length), 0, length),
+            self.step,
+        )
+
+
+@dataclass
+class Sampler:
+    range_: Range
+
+    def sample(self, rge: range) -> list:
+        raise NotImplementedError()
+
+    def __call__(self, start: pd.Period, length: int) -> list:
+        return self.sample(self.range_.get(start, length))
+
+
+@dataclass
+class SampleAll(Sampler):
+    def sample(self, rge: range) -> list:
+        return list(rge)
+
+
+@dataclass
+class SampleOnAverage(Sampler):
+    average_num_samples: float = 1.0
+
+    def __post_init__(self):
+        self.average_length = 0
+        self.count = 0
+
+    def sample(self, rge: range) -> list:
+        if len(rge) == 0:
+            return []
+
+        self.average_length = (self.count * self.average_length + len(rge)) / (
+            self.count + 1
+        )
+        self.count += 1
+        p = self.average_num_samples / self.average_length
+        (indices,) = np.where(np.random.random_sample(len(rge)) < p)
+        return (min(rge) + indices).tolist()
+
+
 class InstanceSampler(BaseModel):
     """
     An InstanceSampler is called with the time series ``ts``, and returns a set