[ENH] `skforecast` integration

[fkiraly]

It would be nice to have an estimator level integration with detectors in the skforecast package.
https://github.com/skforecast/skforecast

This would require:

• a BaseExperiment descendant class SkforecastExperiment which carries out a backtesting experiment for time series forecasters. This can lean on SktimeForecastingExperiment. Also see the extension template https://github.com/SimonBlanke/Hyperactive/blob/main/extension_templates/experiments.py
• a SkforecastOptCv class inheriting from skforecast BaseEstimator similar to the other classes in hyperactive.integrations. Internally, it uses the SkforecastExperiment

[SimonBlanke]

Same questions as the "skpro"-issue:

Very interesting! Could you tell me about possible applications. Do you already have packages or projects in mind where this integration will be used (GC.OS software stack)?

[fkiraly]

I thought simple tuning on the level of skforecast estimators might be nice. @JoaquinAmatRodrigo and @JavierEscobarOrtiz might be able to say whether they would like such functionality.

FYI, I think with hyperactive it is now extremely easy to write tuners for any AI framework! Assuming there already is some basic benchmarking functionality that can be wrapped by a BaseExperiment.

[staru09]

Would love to work on this if it's available.

[fkiraly]

@staru09, yes, it is available!

[staru09]

Please assign this to me.