auto-sklearn
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Time series data split
Could documentation be added on how to properly use auto-sklearn with time series data? It doesn't appear to be possible to pass in a TimeSeriesSplit or other cv type, and the documentation is unclear on whether or not samples are shuffled (thus introducing lookahead bias).
Thanks for pointing out that we need to document the behavior of Auto-sklearn. Auto-sklearn uses a StratifiedCrossValidation and shuffles the data. Therefore, it's not possible to use it for time series data at the moment.
This should now work, see #501.