I am trying to build time automated time series model. I need models that run inference 1 to 3 time units into the future. I can train models and get a RMSE holdout score to rank the models.
However, is that score only based on 1 time unit in the future inferences or 3 time unit inferences in the future? How exactly is holdout score calculated when you want forecast distance to be more than 1? Essentially is the evaluation running multiple 3 step forward inferences and scoring them and factoring that into the RMSE if I set forecast distance to (1,3)?