[feat] Dataset compression for time series forecasting tasks

[dengdifan]

NOTE: ISSUES ARE NOT FOR CODE HELP - Ask for Help at https://stackoverflow.com

Your issue may already be reported! Also, please search on the issue tracker before creating one.

• I'm submitting a ...
  • [x] feature request

Issue Description

• Currently, dataset_compression is unavailable for time-series forecasting datasets as they need to be treated specifically. We need to do so by either:
  • Reducing the number of series in the datasets
  • Truncating the first parts of each series (if they have enough length for a training-validation split)