Forecasting with sktime

This recipe introduces you to sktime, a powerful Python library explicitly designed for time-series analysis and forecasting. While scikit-learn offers robust general ML capabilities that we leveraged in our previous recipes, it lacks native support for time-series forecasting. sktime fills this gap by providing a unified framework specifically for time-series tasks, allowing you to seamlessly integrate any scikit-learn regressors within a specialized time-series context. The library also provides interfaces to other packages, such as statsmodels, statsforecast, and Prophet.One of sktime’s valuable features is its elegant approach to multi-step forecasting, supporting strategies such as recursive, direct, and multi-output, which we manually implemented in the previous recipe. These strategies allow you to extend forecasts across multiple future steps efficiently.Instead of writing custom code for each approach, sktime streamlines the process with its make_reduction...