Add a method to get fitted values from Darts models

[Dekermanjian]

Is your feature request related to a current problem? Please describe. Yes, I am finding it difficult to pull fitted values from models. Maybe we can update the docs for models that support pulling the fitted values?

Describe proposed solution A simple way to get the fitted values/ in sample predictions from Darts models.

Describe potential alternatives For models that support it, you can call darts_model.model.method_to_return_fitted_values. For example, Darts_AutoETSModel.model.predict_in_sample()

Additional context N/A

[madtoinou]

Hi @Dekermanjian,

Just to make sure I understand your feature request, may I ask you what you mean by "fitted values"?:

• the coefficient that the model learned during the training, ~"learned weights"?
• the predicted values/forecast for the time indexes of the series used during fit()
• something else?

It's probably the second option but I just wanted to check :)

[Dekermanjian]

Hi! Yes, sorry I should have been more clear. It is the second option. I do understand that in some cases we are able to get that information, but it would be nice if it was easier or if the documentation included the method. Right now, you would have to go outside of Darts and read the documentation for the specific library that you use in Darts, like the statsforecast library.