Investigate other multi-step forecasting strategies

[antoinecarme]

PyAF uses an iterated one-step ahead forecasting, that is , the same model (signal transformation + signal decomposition) forecast is iterated one-step at a time.

Other forecasting strategies do exist :

1. iterated one-step ahead forecasting (PyAF uses this one)
2. direct -step ahead forecasting; and
3. multiple input multiple output models.

see

1. A review and comparison of strategies for multi-step ahead time series forecasting based on the NN5 forecasting competition By Souhaib Ben Taieb, Gianluca Bontempi, Amir Atiya and Antti Sorjamaa https://arxiv.org/pdf/1108.3259.pdf

2. Long-term forecasting with machine learning models by Thomas Huijskens https://thuijskens.github.io/2016/08/03/time-series-forecasting/

[antoinecarme]

Strategy One. Recursive

[antoinecarme]

Strategy 2. Direct

[antoinecarme]

Strategy 3. MIMO / Joint