First off, I have never contributed to anything before so please have patience with me. I am a data scientist and I have been working with doing some feature engineering on one of my datasets. In my code, I have a pipeline of several transformers and an estimator. I use my pipeline and randomizedsearchcv to tune my hyper-parameters and my transformer settings. Pretty standard stuff. One thing I was doing was creating a feature that was a moving average of another feature. In a basic example, imagine I want to predict if a team is going to win a baseball game. I create a feature that is the moving average of the last N games of runs scored per game (this is the window size of the moving average). Not knowing what the best window size for the moving average, I created a custom transformer that could be put in a pipeline to find the window size that provides the most lift. Is there any interest for this type of contribution? If so, what unittests or anything else do I need to provide?
Thanks, Jeremy
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