How do you implement multisteps forecaster

[JimmyHoSF]

Which type of multisteps do you implement? direct mode or recursive mode? thanks

[oguiza]

Direct mode.
In my opinion, they tend to work better than in recursive mode, although others may disagree.
Since this is just a question, I'll move it to Discussions.

[vrodriguezf]

Is there any literature on this? I prefer direct mode too but it's just because I think it's more elegant and follows the end2end style of deep learning

[oguiza]

Is there any literature on this? I prefer direct mode too but it's just because I think it's more elegant and follows the end2end style of deep learning

I don't know. I'm sure there are papers evaluating these 2 options. I was talking more from my personal experience.