[ENH] skforecast integration for time series hyperparameter tuning

[Omswastik-11]

Summary

This PR adds a full integration with skforecast, allowing Hyperactive to optimize hyperparameters of skforecast forecasting models using any of its optimization algorithms.

Implementation Details

SkforecastExperiment (skforecast_forecasting.py)

• Inherits from BaseExperiment.
• Uses skforecast.model_selection.backtesting_forecaster inside _evaluate() to perform time-series cross-validation for each parameter set.
• clones the forecaster and applies new parameters with set_params() before every evaluation.

SkforecastOptCV (skforecast_opt_cv.py)

• sklearn-style estimator (inherits from BaseEstimator).

• Works with ForecasterRecursive and other compatible skforecast forecasters.

• fit():

  • Builds a SkforecastExperiment with user settings (steps, initial_train_size, metric, etc.).
  • runs Hyperactive’s optimizer to search for the best hyperparameters.
  • refits the best forecaster on all available data.

• predict():

  • delegates to best_forecaster_.predict() for easy forecasting after optimization.

Configuration

• added skforecast as an optional dependency in pyproject.toml under the integrations extra.

Verification

• added skforecast_example.py showing a HillClimbing search with ForecasterRecursive + RandomForestRegressor.
• added unit tests to verify parameter handling, experiment execution, and integration flow.

Closes

Fixes #199

[fkiraly]

Thanks, great!

• please improve docstrings, see above, and also include defaults
• please add get_test_params with sensible settings to test the experiment and the forecaster
• please fix code quality issues, use pre-commit

[Omswastik-11]

Hi @fkiraly !!
Modified the docs string. As you suggested .

added get_test_params() verified all the tests .

tested the pre-commit on changed files

kindly verify this.

[fkiraly]

For the tests to run, you need to add skforecast to the python environment - I would add it to sktime-integration in pyproject.toml, that might be easiest.

[Omswastik-11]

Hi @fkiraly !! commited the changes as you suggested

1. added skforecast to sktime-integration
2. https://github.com/SimonBlanke/Hyperactive/actions/runs/19598614085/job/56149302140?pr=208
   Modified CI to avoid disk storage issue in CI build
3. cheked SkforecastExperiment against all tests

[JoaquinAmatRodrigo]

Hi,
I’ve taken a look at the code related to skforecast, and it looks good. Thanks for the work, @Omswastik-11!

[Omswastik-11]

Hi @JoaquinAmatRodrigo !!!
Thanks 👍.
Can you trigger the workflow to see if it works perfectly ?