DeepAR: Student t vs. Negative Binomial

[PaulSpringerMI4People]

Hello Matt,

I'm very new to your great package and have a question with regard to the distribution used by deepAR-model. As far I understood it correctly, it uses Student t-distribution by default. For my data, I'm interested in negative binomial distribution. Based on the basic example:

model_fit_deepar <- deep_ar(
id = "id",
freq = "M",
prediction_length = 24,
lookback_length = 48,
epochs = 5
) %>%
set_engine("gluonts_deepar") %>%
fit(value ~ ., training(m750_splits))

could you explain how I can adjust it to negative binomial distribution.

Many Thanks in advance!

[leonhGeis]

I am currently trying to implement the negative binomial distribution, as it is in many cases a better choice, especially if there are a lot of zero values in your times series.

Any news or success, concerning the issue?