MLForecast pipeline : Feature extraction/creation + Feature selection + Hyperparameter tuning

[NasreddineD]

Hi,

It would be nice if it was possible to configure the following pipeline :

• Create from a target (or other data) a bunch of features (from domain knowledge or TS analysis or "usual" used features).
• Select ONLY the best features (The quantity should be done by a model(LASSO?) for example and not the user.
• Tuning one or multiple ML models
• Feature importance
• I don't know much about this part, but getting some insights or explainability...

I hope the request is clear.