Feature Extraction From All Time Series Features

[AaronMcDaniel]

I think it would be useful for custom features to be added that can process all of the time series points from the same ID in the same function. I would like to be able to treat my multivariate time series as a series of points in a feature space, and I think this would be useful for many applications.

It may also be useful to configure which specific combinations of columns are input to the function, but I think getting all of the columns is a good start.

Is something like this currently possible or would a feature like this require calculating separately and adding it in to the extract_features output?