Nixtla's Open Source Time Series Ecosystem.

Nixtla Community

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Good morning,

Thank you for the support! This is a great community :blush:
I would love to integrate Diebold-Mariano and Giacomini-White tests (<https://epftoolbox.readthedocs.io/en/latest/modules/statest/gw.html>) into Nixtla to evaluate model performance.
Additionally, I'd find hourly comparison plots like the attached image very useful.
I have a quick question: Does using `max_horizon` with `lag 1` introduce data leakage? (see second image)

Grazie mille!

Additional question: is the calibration window taken from train part or from the test part?

It shouldn't leak, the future targets are added to each row.

The calibration in CV is taken from the train part (as it's done in fit)