wpi_lgbm_w_detrender.py

from sktime.forecasting.compose import TransformedTargetForecaster

def create_forecaster_w_detrender(degree=1):

    # creating forecaster with LightGBM
    regressor = lgb.LGBMRegressor()
    forecaster = TransformedTargetForecaster(
        [
            ("detrend", Detrender(forecaster=PolynomialTrendForecaster(degree=degree))),
            (
                "forecast",
                make_reduction(regressor, window_length=5, strategy="recursive"),
            ),
        ]
    )

    return forecaster


param_grid = {"forecast__window_length": [5, 10, 15, 20, 25, 30]}
forecaster = create_forecaster_w_detrender(degree=1)
wpi_lgb_mae, wpi_lgb_mape = grid_serch_forecaster(
    wpi_train, wpi_test, forecaster, param_grid
)