Hi Guys, I am trying to use AutoArima from Statsforecast but I don't want to use any information criteria for the best model but use a loss on a test set for best model, is there a way I could do it ?

hey @Raghuvansh! Yes! You can select different information criteria, but we must do some tests. Please help us open an issue so we can write a tutorial on the topic. Here’s the link: Thank you! https://github.com/Nixtla/statsforecast/issues/new?assignees=&labels=documentation[…]&title=%5B%3CLibrary+component%3A+Models%7CCore%7Cetc...%3E%5D+

Yeah sure, also could you add support for the test set ?

yes, sure! In that case, you could open an issue related to using different criteria and another one to support the test set. 🙌

Sure, Created this for test set - feature request - https://github.com/Nixtla/statsforecast/issues/525

Thank you, @Raghuvansh!