[ENH] time series feature sets - transformers

[fkiraly]

From @benfulcher's talk, these are a number of feature sets that would be interesting to explore and possibly to interface as transformers.
Note, not all have a native python implementation, so it is worth exploring how easy/difficult an interface is.

• tsfel
• tsfeatures
• feasts
• kats feature set
• catch22 reference implementation, pycatch22 [ENH] Catch22 transformer update and Catch22Wrapper for pycatch22 #3431
• htcsa

Related issues:

• pycatch22 [ENH] Cleaning up Catch22 feature extraction transformer #2254
• tsfeatures [ENH] tsfeatures in sktime #905

[benfulcher]

• 6 of these feature sets are combined in theft (R) (along with comprehensive visualization and analytic tools).
• And FYI, there is active work in re-coding some of the hctsa Matlab time-series feature library into python here. I'm sure they'd welcome contributions.

[fkiraly]

6 of these feature sets are combined in theft (R) (along with comprehensive visualization and analytic tools).

👍

And FYI, there is active work in re-coding some of the hctsa Matlab time-series feature library into python here. I'm sure they'd welcome contributions.

Ah, nice! Doesn't look "active active" though, last activity 2 years ago? Either way, the preferences is probably not for having the feature sets in sktime, but build interfaces in the form of sktime compatible transformers, where possible. Individual feature computations are best maintained in a dedicated place, assuming an active community around them...