Comments (1)
Certain y-transformation are already supported by scikit-learn, see TransformedTargetRegressor
:
TransformedTargetRegressor(estimator=None, transformer=None, func=None, inverse_func=None)
which is basically a wrapper/meta-estimator (in line with @fkiraly's suggestion) that transforms y prior to training and inverse transforms it after the prediction. This should work as it is with our time series regression interface (no checks on X are performed in the meta-estimator itself).
This should also (partly) solve the related forecasting issue (#68).
I would close this issue then If are no further comments?
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