Deprecate BaseDeepClassifier convert_y_to_keras

`convert_y_to_keras` should not be a public method, as disDeprecate
BaseDeepClassifier convert_y_to_keras

`convert_y_to_keras` should not be a public method, as explained in
d1a8029. This change issues a
deprecation warning when the method is called and delegates to the
private method, which is used by all deriving classes. The deprecation
message starts with "WARNING" to match the other deprecation message in
the modified file.

sktime/classification/deep_learning/base.py

@@ -3,6 +3,7 @@
 The reason for this class between BaseClassifier and deep_learning classifiers is
 because we can generalise tags, _predict and _predict_proba
 """
+
 __author__ = ["James-Large", "ABostrom", "TonyBagnall", "aurunmpegasus", "achieveordie"]
 __all__ = ["BaseDeepClassifier"]
 
@@ -122,6 +123,18 @@ def _convert_y_to_keras(self, y):
         y = self.onehot_encoder.fit_transform(y)
         return y
 
+    def convert_y_to_keras(self, y):
+        """Convert y to required Keras format."""
+        from sktime.utils.warnings import warn
+
+        warn(
+            "WARNING: convert_y_to_keras of sktime deep learning estimators is"
+            "deprecated and will be removed in 0.31.0. For equivalent behaviour,"
+            "please use sklearn OneHotEncoder.fit_transform directly.",
+            obj=self,
+        )
+        return self._convert_y_to_keras(y=y)
+
     def __getstate__(self):
         """Get Dict config that will be used when a serialization method is called.