Hi guys, quick question if you don't mind. Based on this notebook: https://nixtla.github.io/mlforecast/docs/prediction_intervals.html, I am unsure of how to literally predict the next step that is not in the test set, i.e., t+1. So, for instance, a stock price that will be next minute, that we don't know yet. Are there any examples to do that? Because the horizon in predict seems to predict the series as if we started 48 hours ago, not as if we started now. Could you please clarify?
fede (nixtla) (they/them)
02/27/2023, 10:18 PM
hey @Piotr Pomorski! Thanks for using mlforecast. The tutorial splits the time series into train and test sets to show the performance of the models. But if you want to actually predict the future, you can pass the entire dataset (without splitting it) and you will be able to get forecasts for the future.
02/28/2023, 8:20 PM
but shouldn't then the prediction array be longer than the test set you pass? If you wanted to predict 48 horizon, you should get an entire test set + 48 additional rows, correct?