Hello, I seem unable to find an example for this anywhere: how can a time-dependent variable be modelled within the framework of pymc3? Currently, I want to model an inhomogeneous Poisson process. For the sake of simplicity, lets say \lambda (t) = a *t + b where a and b are parameters I wish to …

In your example above, the lam is a linear function of t, so you dont need to compile a theano function. Doing lam = pm.Deterministic('lam', a*t + b) is sufficient. For more time-series model, you can check out these examples: http://docs.pymc.io/notebooks/GLM-rolling-regression.html http://docs.…

How to model time-dependent variables in pymc3

Questions

junpenglao November 5, 2017, 7:54pm 4

You can try cumsum from theano:
from theano.tensor.extra_ops import cumsum

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How to model time-dependent variables in pymc3

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