[ENH] Implement callbacks for `evaluate` method about sktime HOT 3 OPEN

@fkiraly @yarnabrina

Let me know if that makes sense to you. I would use these callbacks to log everything i need using mlflow in my case.

from sktime.

If your goal is to just track metrics for different combinations etc.using mlflow tracking, I think that's doable even now at end of the tuning process.

But in general, I agree with the idea and it will be nice to have. I don't know what all different default callbacks people will be interested into though, does early stop etc. intuitive for most sktime forecasters?

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@arnaujc91, agreed that this is an excellent idea, it also bridges "classical" ML hyper-parameter tuning and tuning deep learning estimators.

Could you perhaps write some speculative code for one or two use cases that you'd like to have but are currently not possible?

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