Hi, I am trying to use crossval to evaluate multiple models on multiple time series. I have intermittent business daily data taking into account holidays (0 sales on holidays days). When I run the crossval, it forecasts values on holidays days... How can I make sure to avoid forecasting these days? Or at least get a 0 on these days?

Did you try passing holidays as an exogenous variable? You can also clip the predictions, which can be common in timeseries. For example, make the minimum 0.

Hi, how can I clip the predictions?

Like this: https://pandas.pydata.org/docs/reference/api/pandas.DataFrame.clip.html