[Feature Request] Integration with ROCKET from sktime

[GillesVandewiele]

sktime contains an efficient implementation of ROCKET, which achieves state-of-the-art performances on many time series classification datasets! A wrapper would be very cool!

ROCKET: exceptionally fast and accurate time series classification using random convolutional kernels

[jonasvdd]

Also related: https://github.com/angus924/minirocket