[BUG] catboost with ohe

[martins0n]

🐛 Bug Report

sklearn.OneHotEncoder make float vectors by default. ( __init__(..., dtype=np.float64, ...))
Catboost can't work with float based categoricals

Expected behavior

It should work

How To Reproduce

from etna import transforms
from etna.datasets import TSDataset
from etna.datasets import generate_ar_df
from etna.transforms import SegmentEncoderTransform, OneHotEncoderTransform, DateFlagsTransform

from etna_utils.receipts.backtest import backtest

df = generate_ar_df(periods=100, start_time="2021-01-01", n_segments=10)

ts = TSDataset.to_dataset(df)
ts = TSDataset(ts, freq="D")


config = {'_target_': 'etna.pipeline.Pipeline',
 'horizon': 3,
 'model': {'_target_': 'etna.models.CatBoostModelMultiSegment',
  'iterations': 200,
  'depth': 7,
  'learning_rate': 0.14258190425468625,
  'l2_leaf_reg': 1.682549076309009,
  'border_count': 512,
  'loss_function': 'MAE',
  'thread_count': 1},
 'transforms': [{'_target_': 'etna.transforms.StandardScalerTransform',
   'in_column': 'target'},
  {'_target_': 'etna.transforms.DateFlagsTransform',
   'out_column': 'date_flag',
   'week_number_in_month': True},
  {'_target_': 'etna.transforms.FourierTransform',
   'order': 10,
   'period': 365.25},
  {'_target_': 'etna.transforms.FourierTransform', 'order': 5, 'period': 30.5},
  {'_target_': 'etna.transforms.SegmentEncoderTransform'},
  {'_target_': 'etna.transforms.OneHotEncoderTransform',
   'in_column': 'date_flag_day_number_in_month'}]}

aggregated_metrics, metrics, forecast, _ = backtest(
    ts, config, {},
    backtest_config={"n_folds": 20, "metrics": [{"_target_": "etna.metrics.SMAPE"}, {"_target_": "etna.metrics.MAE"}]},
)

Environment

No response

Additional context

No response

Checklist

• Bug appears at the latest library version