It's really powerfull that NIXTLA just wraps the original modles. If you think that's desireable I could add another paragprag after the SHAP section where I use a Catboost model and plot the feature importance? Just to bring home the point => you can access all the models and do the stuff you do with Pytorch/scikit-learn/catboost/lightGBM/XGBoost for model diagnostics?