Theta model does not preserve item IDs

[borchero]

Description

When using the RForecastPredictor with method_name = "thetaf", the item IDs returned by the predictor's forecasts do not align with the actual item IDs. Instead, it returns None for the item IDs.

To Reproduce

from gluonts.dataset.repository.datasets import get_dataset
from gluonts.model.r_forecast import RForecastPredictor
from gluonts.evaluation.backtest import make_evaluation_predictions

dataset = get_dataset("m3_yearly")
predictor = RForecastPredictor(
    freq=dataset.metadata.freq,
    prediction_length=dataset.metadata.prediction_length,
    method_name="thetaf",
)
forecast_pred, forecast_true = make_evaluation_predictions(dataset.test, predictor)

forecast_pred, _ = make_evaluation_predictions(dataset.test, predictor)

for pred in forecast_pred:
    print(pred.item_id)

You'll see that only None is printed.

Environment

• Operating system: Debian Buster
• Python version: 3.8.9
• GluonTS version: Master, Post 0.7.0 (commit 645d551)
• MXNet version: 1.8.0.post0

Full list of dependencies:

PyYAML = "^5.4.1"
click = "^7.1.2"
fastparquet = "^0.6.1"
fbprophet = "^0.7.1"
gluonts = {git = "https://github.com/awslabs/gluon-ts.git", rev = "f6948bacb7a038df3374e768ad4939455c74b49d"}
holidays = "^0.11.1"
mxnet = "^1.8.0"
numpy = "^1.20.3"
pandas = "^1.2.4"
pyarrow = "^4.0.0"
pydantic = "^1.8.2"
pystan = "^2.0.0"
python = ">=3.8,<3.10"
rpy2 = ">=2.9.*,<3.*"
sagemaker = "^2.40.0"
sagemaker-training = "^3.9.2"
scikit-learn = "^0.24.2"
scipy = "^1.6.3"
toolz = "^0.11.1"
tqdm = "^4.60.0"
ujson = "^4.0.2"
xgboost = "^1.4.1"

[lostella]

Fixes for similar issues: #1113, #1173