smooth.AutoADAM.rmultistep

AutoADAM.rmultistep(h=10)

Return the (T-h) × h matrix of rolling in-sample multistep forecast errors.

Translates R’s rmultistep.adam() from R/rmultistep.R. Must be called after fit().

Parameters:

h (int) – Forecast horizon (number of steps ahead). Default 10.

Returns:

Shape (T-h, h) where T is obs_in_sample.

Return type:

pd.DataFrame

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Parent Class: AutoADAM