Teach OutliersTransform to ignore holidays

[Mr-Geekman]

Issue by alex-hse-repository
Friday Nov 25, 2022 at 15:31 GMT
Originally opened as tinkoff-ai#1017

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🚀 Feature Request

Teach OutliersTransform to ignore holidays, which are not outliers in some sense.

Proposal

1. Add parameters ignore_flag_column: Optional[str] = None -- if set, then it should be column with binary flag of holiday (which might be created from the HolidaysTransform)
2. Update the transform method: now it should ignore the outliers on dates with true values in ignore_flag_column.
3. Update the fit method: now it should check the ignore_flag_column for existence and correctness of the format (binary)

Test cases

1. Transform works correctly with set ignore_flag_column -- it should leave the holidays intersecting with outliers
2. Calling fit with absence/incorrect formatted holidays_flag_column raises the corresponding error

Additional context