[ENH] iisignature backend option for SignatureTransformer

[sz85512678]

Reference Issues/PRs

Fixes #1591.

This PR also adds an option to choose no augmentation, currently the code returns an error if augmentations is None -- the user will be forced to choose an augmentation.

What does this implement/fix? Explain your changes.

Fixes a bug where a runtime error is returned if each point of the time-series has dimension more than 25.
An enhanced flexibility to allow to user to choose no stream augmentation.

Does your contribution introduce a new dependency? If yes, which one?

Soft dependency of the package iisignature is needed for the fix of #1591.

What should a reviewer concentrate their feedback on?

Did you add any tests for the change?

No

Any other comments?

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[fkiraly]

Thanks a lot!

I would request a few things around soft dependency handling, and "no breaking changes" - the philosophy is, no existing code for any user should change unexpectedly. So, I would suggest:

• to the signature transformer and relevant utility functions, add a backend parameter or similar, the default is as current and one option is "iisignature".
• the backend is set to iisignature only if the option is set
• the iisignature soft dependency should be added to the same dependency sets in pyproject.toml that also contains esig.
• there should be a soft dependency check in the init of the signature transformer. iisignatures should be checked only if the backend parameter is set to it, with an informative error message (that tells the user that the backend requires it), for this we could use _check_soft_dependencies.

[sz85512678]

Thank you for the detailed suggestions, they do make sense. I have updated the PR with your comments!

[fkiraly]

Thanks!

Only one blocking comment: The new dependency should have an upper bound.

The other comments are not blocking from my side.

[fkiraly]

hm, another remark: in get_test_params, we should test both backends.

[fkiraly]

Here's how I'd proceed: let's see what the tests do. If they run through, then all is fine. If not, we can exceptionally merge without the dep for testing and add a note to the docstring.

[sz85512678]

Here's how I'd proceed: let's see what the tests do. If they run through, then all is fine. If not, we can exceptionally merge without the dep for testing and add a note to the docstring.

Thank you. Are the tests already running? Sorry I am not sure how everything works -- (what am asking is if there is anything further I need to do now or simply wait).

[fkiraly]

Thank you. Are the tests already running?

Hm, they didn't seem to have run. I restarted them.

[sz85512678]

It looks like the a few checks failed due to the numpy dependency of the iisignature as expected; There's some code quality issue from black, etc. Is the way to fix those to be simply running black etc. of the code before committing?

[fkiraly]

Is the way to fix those to be simply running black etc. of the code before committing?

Yes, although some errors you have to fix manually, e.g., too long lines of code or grammar issues with docstrings.

Here's the full guide on setting up code formatting checks locally:
https://www.sktime.net/en/stable/developer_guide/coding_standards.html

[fkiraly]

I removed the iisignature dependency from pyproject.toml, and added a warning message to the user about reliability. That should take care of the issues mentioned previously.

[sz85512678]

Thank you! Sorry for the late response, really appreciate your help for my first PR.

[fkiraly]

Well, thank you! We really appreciate your first PR!