Hi @Guillaume GALIE! The architecture of all the models in the library (expect DeepAR) depends on the horizon because they follow the "direct" forecasting strategy. When a model is trained with a particular horizon, it can't be changed afterwards.
Cristian (Nixtla)
09/21/2023, 4:07 PM
There are two options:
1. Train the model on the longest horizon of interest, and simply trim the extra information.
2. Implement a recursive predict method, where you use the forecast as input for the next window.