[MNT] Migration to newer skforecast interface

Originally posted by @JavierEscobarOrtiz in https://github.com/sktime/sktime/issues/6531#issuecomment-2499989752

Hello @fkiraly @Abhay-Lejith @yarnabrina

I’m Javier, one of the co-authors of skforecast. First of all, thank you so much for including our library as a wrapper in sktime. It’s amazing to see how our work helps other teams!

I wanted to let you know that in skforecast 0.14.0, we’ve implemented a major refactoring aimed at improving performance and usability. For instance, the class ForecasterAutoreg has been renamed to ForecasterRecursive:

# Before Skforecast 0.14
from skforecast.ForecasterAutoreg import ForecasterAutoreg

# From skforecast 0.14.0 onward 
from skforecast.recursive import ForecasterRecursive

Same Forecaster but new name and new features.

If you need help with the integration, just ping us! 😄 We have also created a migration guide section for anyone who wants to update to the de version.

Best,

Javi, @JoaquinAmatRodrigo