[ENH] Add Hidalgo annotation

examples/hidalgo_segmentation.ipynb

@@ -0,0 +1,66 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": 29,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/plain": [
+       "array([1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,\n",
+       "       1, 1, 1, 1, 1, 1, 1, 0, 1, 1, 0, 1, 0, 1, 1, 1, 1, 1, 1, 1, 1, 1,\n",
+       "       1, 0, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0, 0, 0, 0, 0, 0, 0,\n",
+       "       0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,\n",
+       "       0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0], dtype=int64)"
+      ]
+     },
+     "execution_count": 29,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "import numpy as np\n",
+    "\n",
+    "from sktime.transformations.series.hidalgo import Hidalgo\n",
+    "\n",
+    "np.random.seed(123)\n",
+    "X = np.random.rand(100, 3)\n",
+    "X[:60, 1:] += 10\n",
+    "X[60:, 1:] = 0\n",
+    "model = Hidalgo(K=2, burn_in=0.8, n_iter=1000, seed=10)\n",
+    "fitted_model = model.fit(X)\n",
+    "Z = fitted_model.transform(X)\n",
+    "Z"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3.9.13 ('sktime-dev')",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.9.12"
+  },
+  "orig_nbformat": 4,
+  "vscode": {
+   "interpreter": {
+    "hash": "3672c9971f48dc8b5371767a83a5c009b8758f695819d57d51811323dc5c559e"
+   }
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 2
+}