> From what I understood, the proposal was to give an option whether to keep the
> NaNs or keep the imputed values. Here it seems that NaNs are set back always.

Indeed. I didn't feel confident to do this robustly, as it could require
extrapolating arbitrarily far from the data, and I'd rather that such an
operation be done by the user, as it is bound to be fragile.

> Also, less importantly, previous -np.inf and np.inf will all end up being
> np.nan at the output of this function. Again, a question of convention

Yes, it would be significantly more work to try to keep them, so I gave
up :). I think that right now we have a somewhat sensible behavior to
non-finite values, and I think that we can stop here. At least now we
won't be completely breaking pipelines when there are NaNs.