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I used a Feed Forward (or Convolution or RNN) for forecasting and I want to forecast many steps. I have to options:

  1. To forecast many points simultaneously.
  2. Each time to forecast just one point and than to use some sliding window (using last forecast) to obtain many points (horizon forecast).

What are differences between (1) and (2)?

What should have better performance (MAE or any other metric)?

Is there any additional factors, that I should take into account?

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