[ENH] Clone estimator in direct forecast (#2936)

* clone estimator

* clone estimator

* tests

* test update

Author: TonyBagnall

aeon/forecasting/base.py

@@ -14,6 +14,7 @@
 import pandas as pd
 
 from aeon.base import BaseSeriesEstimator
+from aeon.base._base import _clone_estimator
 from aeon.utils.data_types import VALID_SERIES_INNER_TYPES
 
 
@@ -203,8 +204,9 @@ def direct_forecast(self, y, prediction_horizon, exog=None):
 
         preds = np.zeros(prediction_horizon)
         for i in range(0, prediction_horizon):
-            self.horizon = i + 1
-            preds[i] = self.forecast(y, exog)
+            f = _clone_estimator(self)
+            f.horizon = i + 1
+            preds[i] = f.forecast(y, exog)
         return preds
 
     def iterative_forecast(self, y, prediction_horizon):

aeon/forecasting/tests/test_base.py

@@ -4,7 +4,8 @@
 import pandas as pd
 import pytest
 
-from aeon.forecasting import BaseForecaster, NaiveForecaster, RegressionForecaster
+from aeon.forecasting import NaiveForecaster, RegressionForecaster
+from aeon.forecasting.base import BaseForecaster
 
 
 def test_base_forecaster():
@@ -55,7 +56,7 @@ def test_direct_forecast():
 
 
 def test_iterative_forecast():
-    """Test iterative forecasting."""
+    """Test terativeforecasting."""
     y = np.random.rand(50)
     f = RegressionForecaster(window=4)
     preds = f.iterative_forecast(y, prediction_horizon=10)
@@ -67,6 +68,17 @@ def test_iterative_forecast():
         y = np.append(y, p)
 
 
+def test_output_equivalence():
+    """Test output same for one ahead forecast."""
+    y = np.random.rand(50)
+    f = RegressionForecaster(window=4)
+    p1 = f.forecast(y)
+    p2 = f.fit(y).predict(y)
+    p3 = f.iterative_forecast(y, 1)
+    p4 = f.direct_forecast(y, 1)
+    assert np.allclose(p1, p2, p3[0], p4[0])
+
+
 def test_direct_forecast_with_exog():
     """Test direct forecasting with exogenous variables."""
     y = np.arange(50)