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@Matthieu ANTUNES -LYON- I believe you also have to define the random_seed for reproducibility, it's part of the NHITS hyperparameter. I had similar issue in the past, and if I recall correctly, this is the one that solved my problem.

Hi! It should not be the case, it is strange if the NHITS is the only one. I will check it!

Hello @Cristian (Nixtla), I can confirm that NHITS seems to be the only one that isn't reproducible when setting the random seed (I've only tested on GPU). This is not the case for NBEATS, for example.