I have a model described in pymc3 using the following:
from pymc3 import *
basic_model = Model()
with basic_model:
# Priors for unknown model parameters
alpha = Normal('alpha', mu=0, sd=10)
beta = Normal('beta', mu=0, sd=10, shape=18)
sigma = HalfNormal('sigma', sd=1)
# Expected value of outcome
mu = alpha + beta[0]*X1 + beta[1]*X2 + beta[2]*X3
# Likelihood (sampling distribution) of observations
Y_obs = Normal('Y_obs', mu=mu, sd=sigma, observed=Y)
However, my Y
s are not normally distributed but are binary (so, Bernoulli, I think). I can't figure out how to change the Normal
distrubtion of Y to Bernoulli
though because I can't figure out what the params would be of Y_obs
in that case.
What you are looking for is logistic regression. Here you use the logistic function to convert the output of your linear model to a probability.
In your example this could be specified as follows:
import pyMc3 as pm
import theano.tensor as T
basic_model = pm.Model()
def logistic(l):
return 1 / (1 + T.exp(-l))
with basic_model:
# Priors for unknown model parameters
alpha = pm.Normal('alpha', mu=0, sd=10)
beta = pm.Normal('beta', mu=0, sd=10, shape=18)
# Expected value of outcome
mu = alpha + beta[0]*X1 + beta[1]*X2 + beta[2]*X3
# Likelihood (sampling distribution) of observations
Y_obs = pm.Bernoulli('Y_obs', p=logistic(mu), observed=Y)