Option to Specify Custom Calibration Set

[MaxPolak97]

Dear team,

First of all, thank you for the great work on this library!

I have a question regarding the calibration step. For time series forecasting, it would be very useful to have the option to specify a custom calibration set. In our case (energy forecasting), we would prefer to calibrate the model more heavily on certain critical time periods, such as peak load hours, while ignoring or down-weighting less important periods.

Is there currently a way to do this? Or would you consider adding support for user-defined calibration intervals or weights? This would help ensure the model is better calibrated where it matters most.

Looking forward to your reaction!

[lsorber]

Hi @MaxPolak97, thanks for the suggestion! That does sound valuable indeed. We'd be happy to accept a PR with such a feature. Otherwise, we'll keep this issue open and plan it in when there is capacity to work on it.