Assuming that the data follows a Gaussian distribution, it is perfectly reasonable in many situations. By assuming Gaussianity, we are not necessarily saying data is really Gaussian; instead, we are saying that it is a reasonable approximation for a given problem. The same applies to other distributions. As we saw in the previous chapter, sometimes, this Gaussian assumption fails, for example, in the presence of outliers. We learned that using a Student's t-distribution is a way to effectively deal with outliers and get a more robust inference. The very same idea can be applied to linear regression.
To exemplify the robustness that a Student's t-distribution brings to a linear regression, we are going to use a very simple and nice dataset: the third data group from the Anscombe quartet. If you do not know what the Anscombe quartet is, remember...