[scikit-learn] New Transformer

[David Burns]

First post on this mailing list.

I have been working with time series data for a project, and thought I 
could contribute a new transformer to segment time series data using a 
sliding window, with variable overlap. I have attached demonstration of 
how this would fit in the existing framework. The only challenge for me 
here is that the transformer needs to transform both the X and y 
variable in order to perform the segmentation. I am not sure from the 
documentation how to implement this in the framework.

Overlapping segments is a great way to boost performance for time series 
classifiers, so this may be a worthwhile contribution for some in this 
area of ML. Ultimately, model_selection.TimeSeries.Split would need to 
be modified to support overlapping segments, or a new class created to 
enable validation for this.

Please let me know if this would be a worthwhile contribution, and if so 
how to go about transforming the target vector y in the framework / 
pipeline?

Thanks!

David Burns



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