GP module

[choltz95]

Support for gaussian process may be a great addition to this library
e.g. normalizing sparse/irregular time series, uncertainty estimation, etc..

Regression/classification can probably be easily done similarly to the svm/svc module using sklearn, but here is an example of a more sophisticated gp library for inspiration: https://github.com/cornellius-gp/gpytorch

[rtavenar]

Hi @choltz95

100% agree.

I also think that more traditional stat models, like linear auto regressive and co would be great to have in future tslearn releases.

[choltz95]

Not going to make a new issue, but it's seems natural if GPs are included in the library to maybe also have some api for HMMs.