&SmirnGregHM [BUG] ensure forecasting tuners do not vectorize over columns (variables)

sktime/forecasting/model_selection/_tune.py

@@ -69,7 +69,6 @@ def __init__(
             "capability:pred_int",
             "capability:pred_int:insample",
             "capability:insample",
-            "scitype:y",
             "ignores-exogeneous-X",
             "handles-missing-data",
             "y_inner_mtype",
@@ -91,6 +90,8 @@ def _extend_to_all_scitypes(self, tagname):
 
         Mutates self tag with name `tagname`.
         If no mtypes are present of a time series scitype, adds a pandas based one.
+        If only univariate pandas scitype is present for Series ("pd.Series"),
+        also adds the multivariate one ("pd.DataFrame").
 
         Parameters
         ----------
@@ -104,10 +105,16 @@ def _extend_to_all_scitypes(self, tagname):
         if not isinstance(tagval, list):
             tagval = [tagval]
         scitypes = mtype_to_scitype(tagval, return_unique=True)
+        # if no Series mtypes are present, add pd.DataFrame
         if "Series" not in scitypes:
             tagval = tagval + ["pd.DataFrame"]
+        # ensure we have a Series mtype capable of multivariate
+        elif "pd.Series" in tagval and "pd.DataFrame" not in tagval:
+            tagval = ["pd.DataFrame"] + tagval
+        # if no Panel mtypes are present, add pd.DataFrame based one
         if "Panel" not in scitypes:
             tagval = tagval + ["pd-multiindex"]
+        # if no Hierarchical mtypes are present, add pd.DataFrame based one
         if "Hierarchical" not in scitypes:
             tagval = tagval + ["pd_multiindex_hier"]
         self.set_tags(**{tagname: tagval})

sktime/forecasting/model_selection/tests/test_tune.py

@@ -81,12 +81,13 @@ def _check_cv(forecaster, tuner, cv, param_grid, y, X, scoring):
     assert param_grid[best_idx].items() <= fitted_params.items()
 
 
-def _create_hierarchical_data():
+def _create_hierarchical_data(n_columns=1):
     y = _make_hierarchical(
         random_state=TEST_RANDOM_SEEDS[0],
         hierarchy_levels=(2, 2),
         min_timepoints=15,
         max_timepoints=15,
+        n_columns=n_columns,
     )
     X = _make_hierarchical(
         random_state=TEST_RANDOM_SEEDS[1],
@@ -97,7 +98,10 @@ def _create_hierarchical_data():
     return y, X
 
 
-NAIVE = NaiveForecaster(strategy="mean")
+# estimator fixtures used for tuning
+# set_tags in NaiveForecaster ensures that it is univariate and broadcasts
+# this is currently the case, but a future improved NaiveForecaster may reduce coverage
+NAIVE = NaiveForecaster(strategy="mean").set_tags(**{"scitype:y": "univariate"})
 NAIVE_GRID = {"window_length": TEST_WINDOW_LENGTHS_INT}
 PIPE = TransformedTargetForecaster(
     [
@@ -126,9 +130,15 @@ def _create_hierarchical_data():
 @pytest.mark.parametrize("scoring", TEST_METRICS)
 @pytest.mark.parametrize("cv", CVs)
 @pytest.mark.parametrize("error_score", ERROR_SCORES)
-def test_gscv(forecaster, param_grid, cv, scoring, error_score):
+@pytest.mark.parametrize("multivariate", [True, False])
+def test_gscv(forecaster, param_grid, cv, scoring, error_score, multivariate):
     """Test ForecastingGridSearchCV."""
     y, X = load_longley()
+    if multivariate:
+        X, y = load_longley()
+    else:
+        y, X = load_longley()
+
     gscv = ForecastingGridSearchCV(
         forecaster,
         param_grid=param_grid,
@@ -177,6 +187,7 @@ def test_rscv(forecaster, param_grid, cv, scoring, error_score, n_iter, random_s
         ParameterSampler(param_grid, n_iter, random_state=random_state)
     )
     _check_cv(forecaster, rscv, cv, param_distributions, y, X, scoring)
+    _check_fitted_params_keys(rscv.get_fitted_params())
 
 
 @pytest.mark.skipif(
@@ -189,9 +200,10 @@ def test_rscv(forecaster, param_grid, cv, scoring, error_score, n_iter, random_s
 @pytest.mark.parametrize("scoring", TEST_METRICS)
 @pytest.mark.parametrize("cv", CVs)
 @pytest.mark.parametrize("error_score", ERROR_SCORES)
-def test_gscv_hierarchical(forecaster, param_grid, cv, scoring, error_score):
+@pytest.mark.parametrize("n_cols", [1, 2])
+def test_gscv_hierarchical(forecaster, param_grid, cv, scoring, error_score, n_cols):
     """Test ForecastingGridSearchCV."""
-    y, X = _create_hierarchical_data()
+    y, X = _create_hierarchical_data(n_columns=n_cols)
     gscv = ForecastingGridSearchCV(
         forecaster,
         param_grid=param_grid,
@@ -203,6 +215,7 @@ def test_gscv_hierarchical(forecaster, param_grid, cv, scoring, error_score):
 
     param_grid = ParameterGrid(param_grid)
     _check_cv(forecaster, gscv, cv, param_grid, y, X, scoring)
+    _check_fitted_params_keys(gscv.get_fitted_params())
 
 
 @pytest.mark.skipif(