Richard McElreath in his book Statistical Rethinking Chapter 13 models varying intercepts where categories covary not in a discrete way but based on a continuous variable. In his example he uses euclidean distance as the metric of similarity between data generating points. He then uses this kernel …

Actually, in his book, Osvaldo Martin ported McElreath’s islands example to PyMC3 using the pm.gp class . I don’t know if it answers your questions, but it might give you some pointers.

Gaussian Process used to model varying intercepts in GLM

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junpenglao October 7, 2019, 2:42pm 11

Awesome! Thanks @AlexAndorra!

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Gaussian Process used to model varying intercepts in GLM

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