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Python pymc3.Exponential方法代码示例

本文整理汇总了Python中pymc3.Exponential方法的典型用法代码示例。如果您正苦于以下问题:Python pymc3.Exponential方法的具体用法?Python pymc3.Exponential怎么用?Python pymc3.Exponential使用的例子?那么, 这里精选的方法代码示例或许可以为您提供帮助。您也可以进一步了解该方法所在pymc3的用法示例。


在下文中一共展示了pymc3.Exponential方法的3个代码示例,这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞,您的评价将有助于系统推荐出更棒的Python代码示例。

示例1: apply_parameters

# 需要导入模块: import pymc3 [as 别名]
# 或者: from pymc3 import Exponential [as 别名]
def apply_parameters(self, g, df, initialization_trace=None):
        for node in nx.topological_sort(g):
            parent_names = g.nodes()[node]["parent_names"]
            if parent_names:
                if not initialization_trace:
                    sd = np.array([df[node].std()] + (df[node].std() / df[parent_names].std()).tolist())
                    mu = np.array([df[node].std()] + (df[node].std() / df[parent_names].std()).tolist())
                    node_sd = df[node].std()
                else:
                    node_sd = initialization_trace["{}_sd".format(node)].mean()
                    mu = initialization_trace["beta_{}".format(node)].mean(axis=0)
                    sd = initialization_trace["beta_{}".format(node)].std(axis=0)
                g.nodes()[node]["parameters"] = pm.Normal("beta_{}".format(node), mu=mu, sd=sd,
                                                          shape=len(parent_names) + 1)
                g.nodes()[node]["sd"] = pm.Exponential("{}_sd".format(node), lam=node_sd)
        return g 
开发者ID:microsoft,项目名称:dowhy,代码行数:18,代码来源:mcmc_sampler.py

示例2: main

# 需要导入模块: import pymc3 [as 别名]
# 或者: from pymc3 import Exponential [as 别名]
def main():

    #load data    
    returns = data.get_data_google('SPY', start='2008-5-1', end='2009-12-1')['Close'].pct_change()
    returns.plot()
    plt.ylabel('daily returns in %');
    
    with pm.Model() as sp500_model:
        
        nu = pm.Exponential('nu', 1./10, testval=5.0)
        sigma = pm.Exponential('sigma', 1./0.02, testval=0.1)
        
        s = pm.GaussianRandomWalk('s', sigma**-2, shape=len(returns))                
        r = pm.StudentT('r', nu, lam=pm.math.exp(-2*s), observed=returns)
        
    
    with sp500_model:
        trace = pm.sample(2000)

    pm.traceplot(trace, [nu, sigma]);
    plt.show()
    
    plt.figure()
    returns.plot()
    plt.plot(returns.index, np.exp(trace['s',::5].T), 'r', alpha=.03)
    plt.legend(['S&P500', 'stochastic volatility process'])
    plt.show() 
开发者ID:vsmolyakov,项目名称:fin,代码行数:29,代码来源:stochastic_volatility.py

示例3: __init__

# 需要导入模块: import pymc3 [as 别名]
# 或者: from pymc3 import Exponential [as 别名]
def __init__(
        self,
        learner_cls,
        parameter_keys,
        model_params,
        fit_params,
        model_path,
        **kwargs,
    ):
        self.priors = [
            [pm.Normal, {"mu": 0, "sd": 10}],
            [pm.Laplace, {"mu": 0, "b": 10}],
        ]
        self.uniform_prior = [pm.Uniform, {"lower": -20, "upper": 20}]
        self.prior_indices = np.arange(len(self.priors))
        self.parameter_f = [
            (pm.Normal, {"mu": 0, "sd": 5}),
            (pm.Cauchy, {"alpha": 0, "beta": 1}),
            0,
            -5,
            5,
        ]
        self.parameter_s = [
            (pm.HalfCauchy, {"beta": 1}),
            (pm.HalfNormal, {"sd": 0.5}),
            (pm.Exponential, {"lam": 0.5}),
            (pm.Uniform, {"lower": 1, "upper": 10}),
            10,
        ]
        # ,(pm.HalfCauchy, {'beta': 2}), (pm.HalfNormal, {'sd': 1}),(pm.Exponential, {'lam': 1.0})]
        self.learner_cls = learner_cls
        self.model_params = model_params
        self.fit_params = fit_params
        self.parameter_keys = parameter_keys
        self.parameters = list(product(self.parameter_f, self.parameter_s))
        pf_arange = np.arange(len(self.parameter_f))
        ps_arange = np.arange(len(self.parameter_s))
        self.parameter_ind = list(product(pf_arange, ps_arange))
        self.model_path = model_path
        self.models = dict()
        self.logger = logging.getLogger(ModelSelector.__name__) 
开发者ID:kiudee,项目名称:cs-ranking,代码行数:43,代码来源:model_selector.py


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