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[ENH] Creating documentation/extension template for the Global Forecasting API #6684

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@julian-fong

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As #6228 is now merged inside sktime, it would be helpful to have some documentation or an extension template as part of the _BaseGlobalForecaster. Developers/mentees that work on interfacing different deep learning forecasters could potentially use this to help their development.

Maybe @Xinyu-Wu-0000 could pick this up, or I could in order to get familiar with all of the code?

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