sktime: A Unified Interface for Machine Learning with Time Series

TL;DR

sktime is a Python library that provides a unified, scikit-learn compatible interface for various time series machine learning tasks, simplifying the process by leveraging task reduction techniques.

Contribution

it introduces sktime, a new library that unifies multiple time series learning tasks under a single API, facilitating easier development and comparison.

Findings

Supports multiple time series tasks through a common interface

Enables task reduction to simplify complex problems

Facilitates easier implementation and experimentation

Abstract

We present sktime -- a new scikit-learn compatible Python library with a unified interface for machine learning with time series. Time series data gives rise to various distinct but closely related learning tasks, such as forecasting and time series classification, many of which can be solved by reducing them to related simpler tasks. We discuss the main rationale for creating a unified interface, including reduction, as well as the design of sktime's core API, supported by a clear overview of common time series tasks and reduction approaches.