[BUG] Fix ARCH._check_predict_proba #5349

sktime/forecasting/arch/_uarch.py

@@ -464,28 +464,6 @@ def _predict_var(self, fh=None, X=None, cov=False):
 
         return pred_var
 
-    def _predict_proba(self, fh, X, marginal=True):
-        """Compute/return fully probabilistic forecasts.
-
-        Parameters
-        ----------
-        fh : int, list, np.array or ForecastingHorizon (not optional)
-            The forecasting horizon encoding the time stamps to forecast at.
-            if has not been passed in fit, must be passed, not optional
-        X : sktime time series object, optional (default=None)
-            Exogeneous time series for the forecast
-        marginal : bool, optional (default=True)
-            whether returned distribution is marginal by time index
-
-        Returns
-        -------
-        pred_dist : sktime BaseDistribution
-            predictive distribution
-        """
-        pred_dist = super()._predict_proba(fh=fh, X=X, marginal=marginal)
-        pred_dist.columns = pd.Index([0])
-        return pred_dist
-
     def _get_fitted_params(self):
         """Get fitted parameters.
 

sktime/forecasting/tests/test_all_forecasters.py

@@ -528,7 +528,10 @@ def _check_predict_proba(self, pred_dist, y_train, fh_int):
 
         # check columns
         if isinstance(y_train, pd.Series):
-            assert (pred_cols == pd.Index([0])).all()
+            if y_train.name is not None:
+                assert (pred_cols == y_train.name).all()
+            else:
+                assert (pred_cols == pd.Index([0])).all()
         else:
             assert (pred_cols == y_train.columns).all()