How to custom predictors for Direct multi-step forecast

[xlsi]

Hi all,

I found we can add custom predictors for ForecasterAutoreg, but what if I need to custom predictors for ForecasterAutoregDirect?

Thanks!

[JavierEscobarOrtiz]

Hello @xlsi

Currently, there is no implementation to apply custom predictors with a direct multi-step forecasting strategy.

We have this feature in our backlog, but would be happy if someone would like to contribute to skforecast and develop it.

We really appreciate your feedback on what the community is looking for.

Best,

Javier

[joshuargst]

I think this would be extremely useful. Its particularly of interest to me when I for example dont want the response variable to be used as lagged predictors and only the exogenous variables.