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Add DiscreteMarkovChain distribution #100

Merged
merged 44 commits into from
Apr 20, 2023
Merged

Add DiscreteMarkovChain distribution #100

merged 44 commits into from
Apr 20, 2023

Commits on Dec 16, 2022

  1. add DiscreteMarkovChainRV

    @jessegrabowski
    jessegrabowski committed Dec 16, 2022
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Commits on Dec 17, 2022

  1. remove validate_transition_matrix 

    validate `P` in `logp` via `check_parameters`
Create `test_discrete_markov_chain.py`
    @jessegrabowski
    jessegrabowski committed Dec 17, 2022
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  2. remove x0 argument 

    remove shape checks on x0
add `init_dist` argument
add support for `dtype` kwarg
    @jessegrabowski
    jessegrabowski committed Dec 17, 2022
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  3. Add reshape logic to rv_op based on size and init_dist 

    `dims` argument now works

Add tests associated with `dims`
    @jessegrabowski
    jessegrabowski committed Dec 17, 2022
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  4. Remove moot TODO comments

    @jessegrabowski
    jessegrabowski committed Dec 17, 2022
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Commits on Dec 18, 2022

  1. Update and re-run example notebook

    @jessegrabowski
    jessegrabowski committed Dec 18, 2022
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  2. Update pytensor alias to pt 

    Remove unnecessary type handling on distributions.
    @jessegrabowski
    jessegrabowski committed Dec 18, 2022
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  3. Remove moment method 

    Add `initval='prior'` as a default argument to `__new__`
    @jessegrabowski
    jessegrabowski committed Dec 18, 2022
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  4. Wrap tests into test class

    @jessegrabowski
    jessegrabowski committed Dec 18, 2022
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  5. Add test for default initial distribution warning

    @jessegrabowski
    jessegrabowski committed Dec 18, 2022
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  6. Replace .dimshuffle with pt.moveaxis in rv_op

    @jessegrabowski
    jessegrabowski committed Dec 18, 2022
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  7. Fix scan error 

    Add test for random draws
Re-run notebook
    @jessegrabowski
    jessegrabowski committed Dec 18, 2022
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  8. Add test for change_dist_size

    @jessegrabowski
    jessegrabowski committed Dec 18, 2022
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  9. Add code example to DiscreteMarkovChain docstring

    @jessegrabowski
    jessegrabowski committed Dec 18, 2022
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  10. Update pymc_experimental/distributions/timeseries.py 

    Co-authored-by: Ricardo Vieira <28983449+ricardoV94@users.noreply.github.com>
    @jessegrabowski @ricardoV94
    jessegrabowski and ricardoV94 authored Dec 18, 2022
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  11. Remove shape argument from default init_dist 

    Co-authored-by: Ricardo Vieira <28983449+ricardoV94@users.noreply.github.com>
    @jessegrabowski @ricardoV94
    jessegrabowski and ricardoV94 authored Dec 18, 2022
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  12. Use shape parameter in example code 

    Co-authored-by: Ricardo Vieira <28983449+ricardoV94@users.noreply.github.com>
    @jessegrabowski @ricardoV94
    jessegrabowski and ricardoV94 authored Dec 18, 2022
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  13. Remove steps adjustment from __new__

    @jessegrabowski
    jessegrabowski committed Dec 18, 2022
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  14. Remove .squeeze() from scan output 

    Refactor tests to account for changes to output shapes
    @jessegrabowski
    jessegrabowski committed Dec 18, 2022
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  15. Remove dimension check on init_dist

    @jessegrabowski
    jessegrabowski committed Dec 18, 2022
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Commits on Dec 19, 2022

  1. Fix batch size detection 

    Fix n_state inference
Generalize `rv_op` to allow arbitrary number of lags in markov dynamics
    @jessegrabowski
    jessegrabowski committed Dec 19, 2022
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Commits on Dec 20, 2022

  1. Add support for n_lags > 1

    @jessegrabowski
    jessegrabowski committed Dec 20, 2022
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  2. Fix shape of markov_chain when P has a batch_size and n_lags == 1.

    @jessegrabowski
    jessegrabowski committed Dec 20, 2022
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  3. Add test to recover P when n_lags > 1

    @jessegrabowski
    jessegrabowski committed Dec 20, 2022
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  4. Fix logp shape checking wrong dimension of init_dist

    @jessegrabowski
    jessegrabowski committed Dec 20, 2022
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Commits on Apr 15, 2023

  1. Updates imports following pymc-devs/pymc#6441

    @jessegrabowski
    jessegrabowski committed Apr 15, 2023
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  2. Add a moment function to DiscreteMarkovRV

    @jessegrabowski
    jessegrabowski committed Apr 15, 2023
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  3. Raise NotImplementedError if init_dist is not pm.Categorical

    @jessegrabowski
    jessegrabowski committed Apr 15, 2023
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  4. Update example notebook with some new plots

    @jessegrabowski
    jessegrabowski committed Apr 15, 2023
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  5. Fix a bug that broke n_lags > 1 

    Add tests for `n_lags` > 1
    @jessegrabowski
    jessegrabowski committed Apr 15, 2023
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Commits on Apr 16, 2023

  1. Rename test function to correctly match test

    @jessegrabowski
    jessegrabowski committed Apr 16, 2023
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Commits on Apr 17, 2023

  1. rebase from main

    @jessegrabowski
    jessegrabowski committed Apr 17, 2023
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  2. Add timeseries.DiscreteMarkovChain to api_reference.rst

    @jessegrabowski
    jessegrabowski committed Apr 17, 2023
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  3. Remove check on init_dist

    @jessegrabowski
    jessegrabowski committed Apr 17, 2023
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  4. Add DiscreteMarkovChain to distribtuions.__all__

    @jessegrabowski
    jessegrabowski committed Apr 17, 2023
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  5. Change example notebook title, add subtitles, add plots comparing res… 

    …ults to statsmodels
    @jessegrabowski
    jessegrabowski committed Apr 17, 2023
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  6. Pass init_dist to all tests to avoid UserWarning

    @jessegrabowski
    jessegrabowski committed Apr 17, 2023
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  7. Fix flakey test_moment_function test

    @jessegrabowski
    jessegrabowski committed Apr 17, 2023
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  8. Fix latex in docstring

    @jessegrabowski
    jessegrabowski committed Apr 17, 2023
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  9. Apply suggestions from code review 

    Use short import name in `api_reference.rst`

Co-authored-by: Ricardo Vieira <28983449+ricardoV94@users.noreply.github.com>
    @jessegrabowski @ricardoV94
    jessegrabowski and ricardoV94 authored Apr 17, 2023
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  10. Fix latex in docstring

    @jessegrabowski
    jessegrabowski committed Apr 17, 2023
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  11. Merge branch 'discrete-markov' of https://github.com/jessegrabowski/p… 

    …ymc-experimental into discrete-markov
    @jessegrabowski
    jessegrabowski committed Apr 17, 2023
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  12. Fix latex in docstring

    @jessegrabowski
    jessegrabowski committed Apr 17, 2023
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  13. Fix warning in docstring

    @jessegrabowski
    jessegrabowski committed Apr 17, 2023
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