I think the new `forecast fitted values` function in MLForec

Question

I think the new `forecast fitted values` function in MLForecast is broken It s producing the transformed predictions rather than the inverse transformed one I ve written a Github <https github com Nixtla mlforecast issues 197|issue>

José Morales · Answer

Thanks We ll work on a fix soon

José Morales · Answer

Hey Looking at this I think it may be best to not apply the inverse transformations at all because some of the transformations can t recover the original values of the target for the training set For example if you use Differences 24 the last 24 values of each serie are stored and then added back when predicting so for the training set this produces wrong values WDYT The fix would consist in having the target in the same scale as the model predictions right now it s in the original scale

Isaac · Answer

I noticed the issues with Differences as well I m not sure what a good fix would be but it seems pretty important to have Otherwise I m not sure how you d use mlforecast with hierarchicalforecast

José Morales · Answer

Hey We just released 0 9 3 with a couple of bug fixes related to restoring the fitted values with target transformations Please let us know if you run into any more issues it turned out to be more complex than I expected

Isaac · Answer

I ll take a look Thanks for the update

Isaac · Answer

Do you know when you ll be pushing the new version of hierarchicalforecast It was last updated in March so I ve been using the git version since then

José Morales · Answer

I have to fix some issue with the aggregation after that I think we can make a release I think next week

Isaac · Answer

Sweet it s great how fast and responsive your team is