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Checklist before merging this PR:

  • Mentioned all issues that this PR fixes or addresses.
  • Summarized the updates of this PR under Summary.
  • Added an entry under Unreleased in the Changelog.

Fixes fixes #2264, fixes #1823.

Summary

  • min_train_series_length and min_train_samples are now properly depending on each other
  • min_train_samples attribute was relaxed for models such as ARIMA or LinearRegression, it is now the value under which, the model raises an error
  • historical_forecasts() now rely on min_train_series_length to assess how many steps must be set aside when retrain=True and train_length=None.
  • added min_train_past_covariates_series_length and min_train_future_covariates_series_length attributes, they assume that the series are optimally aligned with the target

Other Information

  • added tests for the historical forecasts utils functions
  • improved parametrization of historical forecasts tests

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[BUG] Inconsistent minimum time series length behaviour [BUG] min_train_series_length does not take lags_past_covariates into consideration
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