There was a thread a while ago regarding this.
http://sourceforge.net/p/scikit-learn/mailman/scikit-learn-general/thread/d04b0e2e49ab5e40b298765dbbbc8f5e10937...@mailsvr001.fleet.dns/
Which gave some suggestions on where it would fit in. The result of that
discussion seemed to be that Gael Varoquax suggested it wasn't in the scope
of sklearn at the time (2 years and change ago) because sklearn doesn't
have much support for time series.
I would like to implement it and contribute the code, but wanted to check
here first, as suggested on the github.
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