chy(0, 2.5);
  sigma ~ cauchy(0, 2.5);
  for (t in 3:T)
    y[t] ~ normal(mu
                  + theta[1] * epsilon[t - 1]
                  + theta[2] * epsilon[t - 2],
                  sigma);
}</code></pre>
<p>The error terms <span class="math inline">\(\epsilon_t\)</span> are defined as transformed parameters in
terms of the observations and parameters. The definition of the
sampling statement (defining the likelihood) follows the definition,
which can only be applied to <span class="math inline">\(y_n