Time series gap detection for TFT tasks

[gmdiana-hershey]

I've been getting a warning when I'm using TemporalFusionTransformer, indicating missing timestamps. It's coming from

FLAML/flaml/automl.py

Line 1033 in f97c233

"Missing timestamps detected. To avoid error with estimators, set estimator list to ['prophet']. "

. It Seems like perhaps it's checking the whole dataset as a single time series, rather than each time series individually. I think that adding logic to _validate_ts_data() to check if the task is 'ts_forecast_panel' and using the group_ids passed when fit() is called could be a solution.

[int-chaos]

if you think you have an idea on how to fix it, feel free to attempt it and submit a pr. FYI, group_ids is already passed into fit() and you can get it via self._state.fit_kwargs.get("group_ids").

but otherwise, I can try what I have in mind (basically separate the entire time series by groups and check for each group).