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changed ar1 logp to use ar1 precision instead of innovation precision #3899

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merged 13 commits into from
Jun 11, 2020
Merged

changed ar1 logp to use ar1 precision instead of innovation precision #3899

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50e9d13
changed ar1 logp to use ar1 precision instead of innovation precision
ljmartin May 1, 2020
7105b49
fixed tests for AR1
ljmartin May 12, 2020
caf7181
making AR1 scipy test behave like pymc3 version
ljmartin May 12, 2020
18c207b
Update pymc3/distributions/timeseries.py
ljmartin May 12, 2020
3ed9a50
Update pymc3/distributions/timeseries.py
ljmartin May 12, 2020
d18f17c
updated AR notebook to use new AR1 model
ljmartin May 15, 2020
e6a328f
updating timeseries AR1
ljmartin May 15, 2020
e7d0d41
Merge branch 'master' into fix-ar1-precision-typo
ljmartin May 15, 2020
bdceac6
Fixed release notes
AlexAndorra Jun 11, 2020
981a449
Black
AlexAndorra Jun 11, 2020
e6e49e5
Updated AR NB
AlexAndorra Jun 11, 2020
a75e681
Blackified AR NB
AlexAndorra Jun 11, 2020
3b604cb
Merge branch 'master' into fix-ar1-precision-typo
AlexAndorra Jun 11, 2020
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5 changes: 3 additions & 2 deletions pymc3/distributions/timeseries.py
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Expand Up @@ -69,11 +69,12 @@ def logp(self, x):
TensorVariable
"""
k = self.k
tau_e = self.tau_e
tau_e = self.tau_e #innovation precision
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tau = tau_e * (1 - k ** 2) #ar1 precision
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x_im1 = x[:-1]
x_i = x[1:]
boundary = Normal.dist(0., tau=tau_e).logp
boundary = Normal.dist(0., tau=tau).logp

innov_like = Normal.dist(k * x_im1, tau=tau_e).logp(x_i)
return boundary(x[0]) + tt.sum(innov_like)
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3 changes: 2 additions & 1 deletion pymc3/tests/test_distributions.py
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Expand Up @@ -352,7 +352,8 @@ def mvt_logpdf(value, nu, Sigma, mu=0):
return logp.sum()

def AR1_logpdf(value, k, tau_e):
return (sp.norm(loc=0, scale=1/np.sqrt(tau_e)).logpdf(value[0]) +
tau = tau_e * (1 - k ** 2)
return (sp.norm(loc=0, scale=1/np.sqrt(tau)).logpdf(value[0]) +
sp.norm(loc=k*value[:-1], scale=1/np.sqrt(tau_e)).logpdf(value[1:]).sum())

def invlogit(x, eps=sys.float_info.epsilon):
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