[BUG] Legacy Example DATA_PATH Fix

[kushvinth]

Reference Issues/PRs

Fixes #1703

What does this implement/fix? Explain your changes.

The DATA_PATH in pytorch_forecasting/data/examples.py was set to Path(__file__).parent, which points to the package installation directory (e.g., site-packages). This caused issues when the library was installed via pip, as:

1. The site-packages directory may not be writable
2. Downloaded data files would be stored in an unexpected location

Fix:

• Changed DATA_PATH to use ~/.pytorch-forecasting/data/ as the default location
• Added support for PTF_DATA_DIR environment variable for user customization
• Directory is auto-created if it doesn't exist

What should a reviewer concentrate their feedback on?

• Is ~/.pytorch-forecasting/data/ an appropriate default location?
• Should the environment variable be named differently?
• Any platform-specific considerations (Windows/Linux/macOS)?

Did you add any tests for the change?

No tests added yet. The issue is difficult to test in CI since it manifests when the library is pip-installed vs run from source. A test could verify that _get_data_path() returns a writable directory.

Any other comments?

This fix ensures the library works correctly whether installed via pip or run from a cloned repository.

PR checklist

• The PR title starts with either [ENH], [MNT], [DOC], or [BUG]. [BUG] - bugfix, [MNT] - CI, test framework, [ENH] - adding or improving code, [DOC] - writing or improving documentation or docstrings.
• Added/modified tests
• Used pre-commit hooks when committing to ensure that code is compliant with hooks. Install hooks with pre-commit install.
  To run hooks independent of commit, execute pre-commit run --all-files

[codecov]

Codecov Report

❌ Patch coverage is 88.88889% with 1 line in your changes missing coverage. Please review.
⚠️ Please upload report for BASE (main@c0598aa). Learn more about missing BASE report.

Files with missing lines	Patch %	Lines
pytorch_forecasting/data/examples.py	88.88%	1 Missing ⚠️

Additional details and impacted files

@@           Coverage Diff           @@
##             main    #2088   +/-   ##
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  Coverage        ?   86.63%           
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  Files           ?      165           
  Lines           ?     9740           
  Branches        ?        0           
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  Hits            ?     8438           
  Misses          ?     1302           
  Partials        ?        0           

Flag	Coverage Δ
cpu	86.63% <88.88%> (?)
pytest	86.63% <88.88%> (?)

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[kushvinth]

@benHeid @fkiraly @fnhirwa @jdb78 @phoeenniixx @PranavBhatP @yarnabrina

Hi all, I’ve addressed the feedback and updated the PR accordingly.
Could you please take a look and share your review when you have time? Thanks in advance!