Michael Keith

After investigating, I am sure that the root of the problem is with the eli5 library. See [this issue](https://github.com/eli5-org/eli5/issues/39). I can't say for sure if the developers of that package...

The fix for this is in 0.19.4. See the new [`save_feature_importance()`](https://scalecast.readthedocs.io/en/latest/Forecaster/Forecaster.html#src.scalecast.Forecaster.Forecaster.save_feature_importance) documentation. Feature importance has been expanded in the package to include the two types previously offered, plus five additional...

I can work on adding the bayesian dynamic linear model from pydlm. Is there a specific model or feature from skforecast you are interested in?

Sir, this is a GitHub.