Fix r_forecast wrapper to shift start date when truncating time ser…

…ies (awslabs#2216)

src/gluonts/model/r_forecast/_predictor.py

@@ -249,6 +249,8 @@ def predict(
 
  for data in dataset:
  if self.trunc_length:
+ shift_by = max(data["target"].shape[0] - self.trunc_length, 0)
+ data["start"] = data["start"] + shift_by
  data["target"] = data["target"][-self.trunc_length :]
 
  params = self.params.copy()

test/model/r_forecast/test_r_predictor.py

@@ -15,7 +15,7 @@
 
 from gluonts.core import serde
 from gluonts.dataset.repository import datasets
-from gluonts.dataset.util import forecast_start
+from gluonts.dataset.util import forecast_start, to_pandas
 from gluonts.evaluation import Evaluator, backtest_metrics
 from gluonts.model.forecast import SampleForecast, QuantileForecast
 from gluonts.model.r_forecast import (
@@ -98,6 +98,16 @@ def test_forecasts(method_name):
  assert agg_metrics["NRMSE"] < TOLERANCE
  assert agg_metrics["RMSE"] < TOLERANCE
 
+ trunc_length = prediction_length
+
+ predictor = RForecastPredictor(**params, trunc_length=trunc_length)
+ predictions = list(predictor.predict(train_dataset))
+
+ assert all(
+ prediction.start_date == to_pandas(data).index[-1] + 1
+ for data, prediction in zip(train_dataset, predictions)
+ )
+
 
 def test_r_predictor_serialization():
  predictor = RForecastPredictor(freq="1D", prediction_length=3)