Implement specialized Hurdle distribution#7810
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| dist | ||
| for dist in dists | ||
| if ( | ||
| getattr(dist, "rv_type", None) is not None |
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This was too restrictive, a subclass also inherits the dispatch function, and need not be in the registry explicitly
Codecov Report❌ Patch coverage is
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## main #7810 +/- ##
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Coverage 92.88% 92.88%
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Files 107 107
Lines 18377 18389 +12
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+ Hits 17069 17081 +12
Misses 1308 1308
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@ricardoV94 This is amazing. Thank you so much for this! |
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LGTM! We should probably add a test similar to one that motivate this PR in the first class
We have the pre-existing hurdlesl tests, in a sense this is just a refactor/optimization. Can't think of anything |
What caused the error originally reported here? pymc-devs/nutpie#163 Does that have a test already? |
That was fixed sometime ago in PyTensor: pymc-devs/pytensor#1137 The performance question when in numba is addressed by pymc-devs/pytensor#1445 Neither is PyMC specific |
Feel free to merge whenever you feel comfortable! I think it's good to go |
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Looks good to me. I just left two very minor comments
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| return mix_logp | ||
| mix_support_point = pt.sum(weights * support_point_components, axis=mix_axis) |
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Why not use the logsumexp and have log scale weights here? Is it because the weights are already in the 0-1 range and taking the log won’t help with precision?
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We're not computing any log quantities nor starting with any log quantities so I don't think it would help. Also the initial point is not so critical?
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This does not require the arbitrary truncation of continuous distribution in the logp/logcdf
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It indirectly addresses the issue reported in in pymc-devs/nutpie#163
The new objects have a logp that handles the discrete + continuous process correctly, without requiring the arbitrary truncation of the latter at epsilon. This provides a cheaper and more stable logp / logcdf.
For discrete variables we keep using a truncation
Also added special logic to truncate a Hurdle distribution which solves bambinos/bambi#768, this is not the desired behavior, reverted itCC @zwelitunyiswa
📚 Documentation preview 📚: https://pymc--7810.org.readthedocs.build/en/7810/