Re: [Pymc-user] Correlation between parameters
Status: Beta
Brought to you by:
fonnesbeck
From: David H. <dav...@gm...> - 2006-02-24 19:19:51
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Thanks Chris, Just so I understand correctly, does specyfing p =3D [A,B] means that A,B are updated using bivariate normal jumps with a correlation coefficient that is tuned along with the covariances ? Also, I'm planning to use PyMC to do mixed Gibbs-Metropolis sampling.=20 That is, some parameters would be sampled directly from a distribution and others would be chosen via MH jumping rules. If I ever get there, I could write a little how-to for inclusion in the PyMC tutorial. Would that be of any interest to you ? Thanks, David 2006/2/24, Chris Fonnesbeck <fon...@gm...>: > On 2/15/06, David Huard <dav...@et...> wrote: > > I have a model with two parameters A and B. When I compute their > > distribution using PyMC, I get a 'cigar' distribution, in other words, > > parameters A and B are strongly correlated. I figure this must put a st= rain > > on the routine, forcing it to decrease the jump radius to maintain an > > acceptable acceptance ratio. Is there a way to indicate that those > > parameters are correlated and to use a multivariate distribution for th= e > > jumps ? > > > > Sorry for the late reply. The best way to deal with highly correlated > parameters is to block update -- i.e. sample them together. Thus, > rather than have A and B, you can just specify a vector-valued > parameter A with init_val =3D [x, y]. Of course, this assumes A and B > both use the same likelihood function. Is this the case? I should > probably add the ability to block update among arbitrary parameters. > > > P.S. Adding the generalized extreme distribution to flib would sure be > > appreciated. > > Look for it in the next release. > > C. > > -- > Chris Fonnesbeck + Atlanta, GA + http://trichech.us > > > ------------------------------------------------------- > This SF.Net email is sponsored by xPML, a groundbreaking scripting langua= ge > that extends applications into web and mobile media. Attend the live webc= ast > and join the prime developer group breaking into this new coding territor= y! > http://sel.as-us.falkag.net/sel?cmdlnk&kid=110944&bid$1720&dat=121642 > _______________________________________________ > Pymc-user mailing list > Pym...@li... > https://lists.sourceforge.net/lists/listinfo/pymc-user > |