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MLForecast pipeline : Feature extraction/creation + Feature selection + Hyperparameter tuning #139

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NasreddineD opened this issue May 20, 2023 · 0 comments

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enhancement feature

NasreddineD commented May 20, 2023

Hi,

It would be nice if it was possible to configure the following pipeline :

Create from a target (or other data) a bunch of features (from domain knowledge or TS analysis or "usual" used features).
Select ONLY the best features (The quantity should be done by a model(LASSO?) for example and not the user.
Tuning one or multiple ML models
Feature importance
I don't know much about this part, but getting some insights or explainability...

I hope the request is clear.

AzulGarza added enhancement feature labels

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