def METHOD_NAME(self):
    """Select last window."""
    # Get the start and end points of the last window.
    cutoff = self._cutoff
    start = _shift(cutoff, by=-self.window_length_ + 1)
    cutoff = cutoff[0]
    # Get the last window of the endogenous variable.
    y = self._y.loc[start:cutoff].to_numpy()
    # If X is given, also get the last window of the exogenous variables.
    X = self._X.loc[start:cutoff].to_numpy() if self._X is not None else None
    return y, X