Hi All I’ve been developing a Poisson Regression model with the capabilities to incrementally update the posterior as new data becomes available (online learning). I’ve been using @davidbrochart Updating Priors notebook as a guide for how to do this in pymc3. I’ve attached an example to this post. …

I had a look at your code. Unfortunately, I dont see much more room to improve the speed, as the Interpolation rv always need to reinitialized, and the bottom neck in the evaluation of scipy Spline smooth function is also difficult to improve without rewriting everything in theano. Alternatively, i…

Performance speedup for updating posterior with new data

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junpenglao July 3, 2019, 6:02am 5

Using student t is more robust to outliners, as it has a heavier tail.

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Performance speedup for updating posterior with new data

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