[ENH] Allow `ForecastingGridSearchCV` to return results with multiple score metrics
#6.012 aberto em 26 de fev. de 2024
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Description
Is your feature request related to a problem? Please describe.
I would like to have the same dataframe that currently ForecastingGridSearchCV returns as the attribute named cv_results_ but on top of this i would like ForecastingGridSearchCV to evaluate the test set with multiple metrics as different metrics provide different information and currently ForecastingGridSearchCV just returns the metric used to rank the hyperparamters.
Describe the solution you'd like Just return one column per metric in the dataframe. A similar approach is followed by PyCaret, e.g. https://github.com/pycaret/pycaret/blob/master/tutorials/time_series/forecasting/univariate_without_exogeneous_part2.ipynb
Look at the 10th output of the jupyter notebook.
You should be able to pass a list of metrics and then also provide the information of which of the metrics are you going to use to rank the forecaster hyperparams.