MNT Add comment about sklearn for time-series analysis (#816)

Author: augustebaum

python_scripts/cross_validation_time.py

@@ -232,3 +232,8 @@
 # i.i.d data. It might lead to misleading outcomes, creating the false
 # impression that a predictive model performs well when it may not be the case
 # in the intended real-world scenario.
+#
+# scikit-learn offers useful tools for time-series analysis apart from `TimeSeriesSplit`, (see for instance the
+# [Time-related feature engineering example](https://scikit-learn.org/stable/auto_examples/applications/plot_cyclical_feature_engineering.html)
+# in the documentation), and scikit-learn models can yield even better results
+# when combined with other specialized libraries.