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!