[FEATURE REQUEST] Time Series Cross Validation

[lchen-24]

Is your feature request related to a problem? Please describe.
Time series cross validation is very useful during model selection and some packages do have it as part of backtesting. Curious to know if Merlion will add it in the future or the reason for not adding as part of the package.

Describe the solution you'd like
Incorporate time series cross validation as part of package

Describe alternatives you've considered
Currently trying to use time series cross validation from scikit-learn

[lchen-24]

model evaluator seems to provide similar function