CV Pipeline for Time Series with Differing shape for X and y
I've done a bit of searching and have actually found a solution to this using tsfresh.

You can find the sklearn transformers here:
https://tsfresh.readthedocs.io/en/latest/text/sklearn_transformers.html

Here is the code snippet from the example.

pipeline = Pipeline(
    [
        ('augmenter', RelevantFeatureAugmenter(column_id='id', column_sort='time')),
        ('classifier', RandomForestClassifier())
    ]
)

df_ts, y = load_robot_execution_failures()
X = pd.DataFrame(index=y.index)

pipeline.set_params(augmenter__timeseries_container=df_ts)
pipeline.fit(X, y)


We pass an empty dataframe to pipeline.fit and specify the input data as a parameter to the tsfresh transformer. df_ts and y have a totally different shape!

:-)