Different families of distributions - custom bsts

[palmierieugenio]

I have tried to use a custom model, but I have noticed that this package seems to work with "gaussian" and "student" families (from the bsts package), but not with the "logit" and "poisson" families (which are supported by bsts).

I think adding support for these families would be useful.

Another alternative, probably easier to implement (but probably suboptimal), would be to add support for variable transformations and backtrasformations.

https://robjhyndman.com/hyndsight/forecasting-within-limits/
https://robjhyndman.com/hyndsight/backtransforming/

I think the poisson family is particularly important since it is very common to deal with count data.

[dklinenberg2020]

Was this ever implemented? I have been getting errors when trying to use the Poisson distribution 🫠