How to set up an error term to follow Student t-distribution?
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Description
A corner-stone paper "Forecasting at Scale" by Sean J. Taylor and Benjamin Letham
(https://peerj.com/preprints/3190/) specified that the error term e(t) is normally distributed in the Prophet model specification:
"y(t) = g(t) + s(t) + h(t) + et
Here g(t) is the trend function which models non-periodic changes in the value of the
time series, s(t) represents periodic changes (e.g., weekly and yearly seasonality), and
h(t) represents the effects of holidays which occur on potentially irregular schedules over
one or more days. The error term t represents any idiosyncratic changes which are not
accommodated by the model; later we will make the parametric assumption that et
is normally distributed."
Setting e(t) to follow Student t-distribution with degree of freedom equal the sample size minus number of the model's parameters will make the Prophet model more robust to the impact of the outliers in a small-to-medium samples.
Is such opportunity available now out-of-box in Prophet model (e.g., stan file)?
If not, could somebody suggest how it can be set up?
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