I am trying to fit a regression model to estimate a percentage, 'sleepEf' (scaled to 0:1) from a single predictor variable 'tst' in pyMC3. Given that a percentage is bounded, I believe I should use a beta distributed outcome variable with a logit transform. Here is my model in pyMC3: with pm.Model(…

The problem is that the model_err is too large - after internal transform the alpha and beta in the pm.Beta become negative, which is outside of the range of support. You can check the value of mu and sd by doing: y_est.tag.test_value model_err.tag.test_value And transform the mu and sd to alpha …

Parameterizing the beta distribution via mu and sd is always a bit of a mess. It might work much better if you logit transform your dataset instead, and then use a normal likelihood.

Thanks guys! i got it to work with a smaller sd. @junpenglao , maybe there should be something in the documentation on the limits of sd, (currently it only states sd > 0). Is this the kind of thing i would open a github issue for? @aseyboldt , i think im going to stick with the beta regression becau…

Yeah: a beta distribution with mean mu, the var should be smaller than mu(1 - mu). A PR to edit the docstring and also a better check of this would be great.

@bdyetton Thanks for the PR! Just for clarification: I didn’t mean a log transform, but a logit transform. I’m not sure what “accurate” means in this context, a logit-normal model is a bit different from the beta distribution, but unless you have a good reason why the beta would somehow be the rig…

Just chipping in with a “hooray!!!” for a PR to PyMC3, @bdyetton !

Beta Regression in pyMC3

Questions

bdyetton August 30, 2017, 9:59pm 6

PR is here: https://github.com/pymc-devs/pymc3/pull/2534
I just edited the docstring.

1 Like

Help understanding why sampling fails in Zero-Inflated Gamma likelihood model

Topic		Replies	Views
Fitting a Beta Regression Questions	3	1815	September 19, 2018
How to model observed percentages (bounded from 0 to 1) Questions	8	2881	January 3, 2018
Beta distribution failing for missing value imputation? Questions	7	709	December 21, 2021
How to implement Beta Function effectively in Pymc3 Questions	8	2003	November 3, 2021
Beta distribution model gives initial evaluation error with scaled observed values version agnostic	6	745	March 21, 2022

Beta Regression in pyMC3

Related topics