Feature: Custom encoders returning multiple components

[mwaldleben]

Checklist before merging this PR:

• Mentioned all issues that this PR fixes or addresses.
• Summarized the updates of this PR under Summary.
• Added an entry under Unreleased in the Changelog.

Fixes #2806.

Summary

This PR adds support in CallableIndexEncoder for custom encoders to return multiple components. A single callable used via add_encoders["custom"] can now return either a 1D array of shape (len(index),) or a 2D array of shape (len(index), n).

For a 2D output, one encoded covariate component per column are created. The number of components is detected at initialization time. If the callable does not accept a supported index type or does not return the correct output shape, a ValueError is raised at initialization.

[codecov]

Codecov Report

✅ All modified and coverable lines are covered by tests.
✅ Project coverage is 96.48%. Comparing base (91d266b) to head (46a48aa).

Additional details and impacted files

@@            Coverage Diff             @@
##           master    #3069      +/-   ##
==========================================
+ Coverage   96.47%   96.48%   +0.01%     
==========================================
  Files         160      160              
  Lines       17262    17285      +23     
==========================================
+ Hits        16654    16678      +24     
+ Misses        608      607       -1     

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[dennisbader]

Beautiful PR, thanks a lot @mwaldleben 🚀

I just pushed some minor changes that are unrelated to your PR (we're removing the raise_if* helpers slowly so I took the chance to do it for the encoders module in this PR).

I'll merge once all tests have passed 💯