Forecaster interface: getting in-sample forecasts, getting residuals

Is your feature request related to a problem? Please describe. I think there should be a method or property to obtain in-sample fitted value or residuals, which are important in many forecasting methods, such as forecast combination.

Describe the solution you’d like

Add a method or property to BaseForecaster and it should be implemented for every forecaster.

Additional context A traditional forecast combination method based on variance of in-sample residuals.

[fkiraly]

I think so, yes.

[mloning]

I’d prefer keeping it simple and only provide a method for in-sample residuals, at least for now. Don’t have preference over compute_residuals or predict_residuals.