I am struggling to implement a linear regression in pymc3 with a custom likelihood.
I previously posted this question on CrossValidated & it was recommended to post here as the question is more code orientated (closed post here - https://stats.stackexchange.com/questions/541261/custom-likelihood-regression-pymc3)
Suppose you have two independent variables x1, x2 and a target variable y, as well as an indicator variable called delta.
- When delta is 0, the likelihood function is standard least squares
- When delta is 1, the likelihood function is the least squares contribution only when the target variable is greater than the prediction
Example snippet of observed data:
x_1 x_2 𝛿 observed_target
10 1 0 100
20 2 0 50
5 -1 1 200
10 -2 1 100
Does anyone know how this can be implemented in pymc3? As a starting point...
model = pm.Model()
with model as ttf_model:
intercept = pm.Normal('param_intercept', mu=0, sd=5)
beta_0 = pm.Normal('param_x1', mu=0, sd=5)
beta_1 = pm.Normal('param_x2', mu=0, sd=5)
std = pm.HalfNormal('param_std', beta = 0.5)
x_1 = pm.Data('var_x1', df['x1'])
x_2 = pm.Data('var_x2', df['x2'])
mu = (intercept + beta_0*x_0 + beta_1*x_1)
from Coding Custom Likelihood Pymc3
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