I am using lasso for time-series data and I would like to decay old data with a weight vector. Any reason why this is not available for lasso?

Meanwhile, if I fit lasso with X = dot(sqrt(diag(weights)), X) and y = dot(sqrt(diag(weights)), y), would it mean the same thing?

Thanks!

Edit:
TODOs

• sample_weight support in Lasso and ElasticNet (solved in [MRG] Sample weights for ElasticNet #15436)
• sample_weight support for ElasticNetCV [MRG] Sample weights for ElasticNetCV #16449
• sample_weight in combination with sparse X ENH add sample_weight to sparse coordinade descent #22808