Hi, everytime I run the following

mlf = MLForecast(models=models, differences=[1], date_features=['month'],
                 lags=None, num_threads=mp.cpu_count()-1,
                 lag_transforms=None, freq='W-FRI')

Where it just transforms the price series via

differences=[1]

, I always end up with

ValueError: Input contains NaN, infinity or a value too large for dtype('float64').

Well, I guess it's obvious that the moment you apply first-difference there will be nans, why MLForecast does not delete the first row? And to precede your question, no, my original dataset has no nans.

Hi @Piotr Pomorski! @José Morales can probably help you.

Turns out I also had to specify lags for it to work. Odd stuff, possible fix in some newer version?