[ENH] extend sktime ForecastingOptCV with broadcasting options and returned parameters
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… parameters Signed-off-by: Anirudh Sengar <anirudhsengar3@gmail.com>
Signed-off-by: Anirudh Sengar <anirudhsengar3@gmail.com>
fkiraly
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Nice!
Though, I think there is already automatic broadcasting in sktime - this should be activated, instead of reimplementing it.
Have a look at BaseGridSearch in sktime, and the __init__ code which handles tune_by_variable and tune_by_instance (the latter via _extend_to_all_scitypes).
fkiraly
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Signed-off-by: Anirudh Sengar <anirudhsengar3@gmail.com>
Signed-off-by: Anirudh Sengar <anirudhsengar3@gmail.com>
fkiraly
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Nov 25, 2025
fkiraly
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fkiraly
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Nov 25, 2025
src/hyperactive/integrations/sktime/tests/test_sktime_estimators.py
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Great!
Only very small comments above.
Signed-off-by: Anirudh Sengar <anirudhsengar3@gmail.com>
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Done! Thank you @fkiraly for the feedback. |
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If approved, please merge sktime/sktime#9092 as well. |
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Great!
Small request - please move the example from the README to the docstring, and also update the docstring in sktime/sktime#9092 so it is identical.
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Done! @fkiraly. Even updated sktime/sktime#9092. |
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Summary
Extend
ForecastingOptCVto expose sktime’s broadcasting controls plus richer post-fit diagnostics, aligning it more closely withForecastingGridSearchCVwhile keeping Hyperactive optimizers in play. Also document the new knobs and assert the behavior via integration tests.Changes
tune_by_instance/tune_by_variableinit params. When sktime is available we reuse its delegated tagging (_set_delegated_tags+_extend_to_all_scitypes) so panel/multivariate broadcasting follows the native implementation rather than a bespoke copy.fitnow recordsscorer_,n_splits_,best_index_,best_score_,best_params_,best_forecaster_,refit_time_, and acv_results_table (the backtesting results for the winning configuration). We time refits withtime.perf_counterand keep the optimizer’s best index when available.Related Issues
Fixes #198