[ENH] Standardise check_y usage via separate _convert_y method

[satwiksps]

[ENH] Standardise check_y usage via separate _convert_y

Reference Issues/PRs

• Fixes [ENH] Standardise check_y use case #2970

What does this implement/fix? Explain your changes.

This PR standardises the usage of check_y across base classes to follow the pattern proposed in #2970.

Previously, two inconsistent patterns existed:

• Validation and conversion combined via y = self._check_y(y)
• Validation only via self._check_y(y)

This caused ambiguity and inconsistent behaviour across different estimator types.

This PR introduces a clear separation of responsibilities by:

• Ensuring _check_y() is used strictly for validation
• Moving all type conversions into a new dedicated method _convert_y()

The standard usage is now:
self._check_y(y)
y = self._convert_y(y)

This pattern is applied consistently to:

• BaseRegressor
• BaseCollectionAnomalyDetector
• BaseSeriesAnomalyDetector

This improves clarity, consistency, and prevents unintended side-effects such as overwriting y or implicit type coercion during validation.

Does your contribution introduce a new dependency? If yes, which one?

No

Any other comments?

No

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I have added the following labels to this PR based on the title: [ enhancement ].
I have added the following labels to this PR based on the changes made: [ anomaly detection, regression ]. Feel free to change these if they do not properly represent the PR.

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