Disclaimer: New to this field

I am researching ways to forecast a given time-series.

So, I understand what Univariate and Multivariate forecasting is. While going through different results, I came across multistep time-series forecasting(link) and ways to do that.

My assumption: Whenever you forecast multiple times in a series, its called multi-step. Is this the definition or something much more detailed?


Your assumption is correct, regarding your example. The author forecasts one(t), two(t+1) and three month (t+2) in advance, so he called it multi-step. It is to be expected that the near periods are easier to predict.

There are different possiblilities to do that:

First you could just use your training data to forecast all three time steps, like the author does.

Second, you could forecast the the value for t and then use that new "data" for your prediction in t+1 etc...This might improve your prognosis.


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