[ENH] direct/recursive forecasting #6633

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Run time

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Job	Run time
test-no-soft-deps	7m 56s
codecov	0s
pytest (ubuntu-22.04, 3.9, true)	9m 10s
pytest (ubuntu-22.04, 3.11, true)	7m 32s
pytest (ubuntu-22.04, 3.12, true)	9m 10s
pytest (macOS-14, 3.9, true)	4m 31s
pytest (macOS-14, 3.11, true)	6m 7s
pytest (macOS-14, 3.12, true)	5m 31s
pytest (windows-2022, 3.9, true)	11m 43s
pytest (windows-2022, 3.11, true)	16m 56s
pytest (windows-2022, 3.12, true)	9m 17s
	1h 27m 53s