How can we build a mixture of mixtures?

Questions
14

That’s weird - it works for me:

with pm.Model() as model:
    # "continuous" part : lognormal mixture
    ln_nbr = 5
    mu = pm.Exponential('mu', lam=1, shape=ln_nbr)
    sd = pm.HalfNormal('sd', sd=1, shape=ln_nbr)
    ln_components = pm.Lognormal.dist(mu=mu,sd=sd,shape=ln_nbr)
    ln_w = pm.Dirichlet('ln_w',a=np.array([0.0000001]*ln_nbr))
    ln_mix = pm.Mixture.dist(w=ln_w,comp_dists=ln_components, shape=1)

ln_mix.logp(np.asarray([10.]))