Description
Is your feature request related to a problem? Please describe.
A clear and concise description of what the problem is. Ex. I wish I could use cuML to do [...]
cuML is missing this API from sklearn:
https://scikit-learn.org/stable/modules/generated/sklearn.compose.TransformedTargetRegressor.html#sklearn.compose.TransformedTargetRegressor
Describe the solution you'd like
from cuml.compose import TransformedTargetRegressor
Describe alternatives you've considered
Doing it manually
Additional context
Add any other context, code examples, or references to existing implementations about the feature request here.
See here why transforming the target is important: https://scikit-learn.org/stable/auto_examples/compose/plot_transformed_target.html#sphx-glr-auto-examples-compose-plot-transformed-target-py