[ENH] sktime detectors integration

It would be nice to have an estimator level integration with detectors in the sktime package.
https://github.com/sktime/sktime

This would require:

a BaseExperiment descendant class SktimeDetectorExperiment which carries out a cross-validation experiment for time series detectors. This can lean on SktimeClassificationExperiment, in particular when handling metrics. In hyperactive.experiment.integrations. Also see the extension template https://github.com/SimonBlanke/Hyperactive/blob/main/extension_templates/experiments.py
a TSDetectorOptCv class inheriting from sktime BaseDetector similar to the other classes in hyperactive.integrations. Internally, it uses the SktimeDetectorExperiment

Hello, will love to contribute to this issue. Is it open to non-maintainers?

Also, do you have an example of possible application where this could be applied?

Yes, this is open!

As an example, one would optimize a detector to "numbers of detections per month" being close to a pre-scribed value.

Thank you, will look into it then.

@fkiraly

Hello, quick question @fkiraly

Is there a similar function like from sktime.classification.model_evaluation import evaluate as we have in SktimeClassificationExperiment _evaluate() function, but for detectors?. I looked into the documentation, and here in the sktime codebase https://github.com/sktime/sktime/tree/4aab650ca9ab09d76b2b56e0c26b6a26d8a0c640/sktime/detection, but didn't find any.

Is there any alternative to this?

as discussed in the PR, repeating here for completeness - not yet, and thanks for implementing it in sktime/sktime#9074!

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