I am modeling Generalised Extreme Value Distribution in PYMC3 but I keep on getting SamplingError: Initial evaluation of model at starting point failed! I am implementing my own distribution. The logp equation is the PDF of GEV. I took the inital values for the shape, location and scale parameters f…

DensityDist no longer accepts a dictionary for observed in v4

Hi, Thanks for the reply. I tried this version but it doesn’t work. It returns error messages TypeError: must be real number, not FreeRV

Can you share your code that’s giving you this error? Also, if you’re able to share your data datain that would be useful for debugging.

I am using the exact code you shared. I have tried this in the past with little success. Here is my data data.txt (203 Bytes)

I think the problem is coming from your priors, you will need to make sure they make sense (I’m not very familiar with the GEV distribution so I’m not of much help). When I was messing with the priors I got the same SamplingError: Initial evaluation of model at starting point failed! issue you i…

Many thanks! I agree, there is definitely some problem with my priors. I will try to play with different set of priors and see if it converges.

The GEV shape parameter rarely goes outside +/- 0.3 in practical applications. It’s hard to know what your prior is doing - what is shape1?

Hi, just wanted to update that I corrected my model by reducing the standard deviation and giving informed priors as calculated by the maximum likelihood. It looks like the model converges well with this set-up. I am attaching the trace plot. Could you please have a look at it if it looks decent. …

If you’re interested in the distribution of the prediction at a 10 year return level for example, this is what you could do: p = 1/10 # probability of exceedance with pm.Model() as model_gev: # Priors μ = pm.Normal('μ', mu=3, sigma=5) σ =pm.Normal('σ', mu=0.24, sigma=5) ξ = pm.Norm…

@ccaprani Thanks, this is helpful. I was calculating the return levels with numpy. I updated the priors as suggested by Coles to non-informative with large variances. I tried the beta prior with alpha = 6 and beta =9 as well as suggested by . Huard D, Mailhot A, Duchesne S. Bayesian estimation of in…

Sampling Error: GEV PyMC3

Questions

jlindbloom September 6, 2021, 10:26pm 2

It looks like someone has some working code for a model using the GEV distribution here. Does sampling work if you use this version + your data?

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Sampling Error: GEV PyMC3

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