Multi-Step Training Predictions

[samuel-gerstein]

Description

Currently when you use MLForecast.forecast_fitted_values() it only can produce one-step ahead predictions on the training set without the ability to customize the horizon.

It would be great if the functionality used in this R example could be implemented here.

Use case

I would like to have training predictions be accurate for multi-step models. It can be quite confusing and is unclear that the horizon is different for multi-step models between training and testing.