def test_FFBSStep():
np.random.seed(2032)
poiszero_sim, _ = simulate_poiszero_hmm(30, 150)
y_test = poiszero_sim["Y_t"]
with pm.Model() as test_model:
p_0_rv = pm.Dirichlet("p_0", np.r_[1, 1])
p_1_rv = pm.Dirichlet("p_1", np.r_[1, 1])
P_tt = tt.stack([p_0_rv, p_1_rv])
P_rv = pm.Deterministic("P_tt", tt.shape_padleft(P_tt))
pi_0_tt = compute_steady_state(P_rv)
S_rv = HMMStateSeq("S_t", P_rv, pi_0_tt, shape=y_test.shape[0])
Y_rv = PoissonZeroProcess("Y_t", 9.0, S_rv, observed=y_test)
with test_model:
ffbs = FFBSStep([S_rv])
test_point = test_model.test_point.copy()
test_point["p_0_stickbreaking__"] = poiszero_sim["p_0_stickbreaking__"]
test_point["p_1_stickbreaking__"] = poiszero_sim["p_1_stickbreaking__"]
res = ffbs.step(test_point)
assert np.array_equal(res["S_t"], poiszero_sim["S_t"])
def test_FFBSStep_extreme():
"""Test a long series with extremely large mixture separation (and, thus, very small likelihoods).""" # noqa: E501
np.random.seed(2032)
mu_true = 5000
poiszero_sim, _ = simulate_poiszero_hmm(9000, mu_true)
y_test = poiszero_sim["Y_t"]
with pm.Model() as test_model:
p_0_rv = poiszero_sim["p_0"]
p_1_rv = poiszero_sim["p_1"]
P_tt = at.stack([p_0_rv, p_1_rv])
P_rv = pm.Deterministic("P_tt", at.shape_padleft(P_tt))
pi_0_tt = poiszero_sim["pi_0"]
S_rv = DiscreteMarkovChain("S_t", P_rv, pi_0_tt, shape=y_test.shape[0])
S_rv.tag.test_value = (y_test > 0).astype(int)
# This prior is very far from the true value...
E_mu, Var_mu = 100.0, 10000.0
mu_rv = pm.Gamma("mu", E_mu**2 / Var_mu, E_mu / Var_mu)
PoissonZeroProcess("Y_t", mu_rv, S_rv, observed=y_test)
with test_model:
ffbs = FFBSStep([S_rv])
test_point = test_model.test_point.copy()
test_point["p_0_stickbreaking__"] = poiszero_sim["p_0_stickbreaking__"]
test_point["p_1_stickbreaking__"] = poiszero_sim["p_1_stickbreaking__"]
with np.errstate(over="ignore", under="ignore"):
res = ffbs.step(test_point)
assert np.array_equal(res["S_t"], poiszero_sim["S_t"])
with test_model, np.errstate(over="ignore",
under="ignore"), warnings.catch_warnings():
warnings.filterwarnings("ignore", category=UserWarning)
warnings.filterwarnings("ignore", category=DeprecationWarning)
warnings.filterwarnings("ignore", category=FutureWarning)
mu_step = pm.NUTS([mu_rv])
ffbs = FFBSStep([S_rv])
steps = [ffbs, mu_step]
trace = pm.sample(
20,
step=steps,
cores=1,
chains=1,
tune=100,
n_init=100,
progressbar=False,
)
assert not trace.get_sampler_stats("diverging").all()
assert trace["mu"].mean() > 1000.0
def test_FFBSStep():
with pm.Model(), pytest.raises(ValueError):
P_rv = np.eye(2)[None, ...]
S_rv = DiscreteMarkovChain("S_t", P_rv, np.r_[1.0, 0.0], shape=10)
S_2_rv = DiscreteMarkovChain("S_2_t", P_rv, np.r_[0.0, 1.0], shape=10)
PoissonZeroProcess("Y_t",
9.0,
S_rv + S_2_rv,
observed=np.random.poisson(9.0, size=10))
# Only one variable can be sampled by this step method
ffbs = FFBSStep([S_rv, S_2_rv])
with pm.Model(), pytest.raises(TypeError):
S_rv = pm.Categorical("S_t", np.r_[1.0, 0.0], shape=10)
PoissonZeroProcess("Y_t",
9.0,
S_rv,
observed=np.random.poisson(9.0, size=10))
# Only `DiscreteMarkovChains` can be sampled with this step method
ffbs = FFBSStep([S_rv])
with pm.Model(), pytest.raises(TypeError):
P_rv = np.eye(2)[None, ...]
S_rv = DiscreteMarkovChain("S_t", P_rv, np.r_[1.0, 0.0], shape=10)
pm.Poisson("Y_t", S_rv, observed=np.random.poisson(9.0, size=10))
# Only `SwitchingProcess`es can used as dependent variables
ffbs = FFBSStep([S_rv])
np.random.seed(2032)
poiszero_sim, _ = simulate_poiszero_hmm(30, 150)
y_test = poiszero_sim["Y_t"]
with pm.Model() as test_model:
p_0_rv = pm.Dirichlet("p_0", np.r_[1, 1], shape=2)
p_1_rv = pm.Dirichlet("p_1", np.r_[1, 1], shape=2)
P_tt = at.stack([p_0_rv, p_1_rv])
P_rv = pm.Deterministic("P_tt", at.shape_padleft(P_tt))
pi_0_tt = compute_steady_state(P_rv)
S_rv = DiscreteMarkovChain("S_t", P_rv, pi_0_tt, shape=y_test.shape[0])
PoissonZeroProcess("Y_t", 9.0, S_rv, observed=y_test)
with test_model:
ffbs = FFBSStep([S_rv])
test_point = test_model.test_point.copy()
test_point["p_0_stickbreaking__"] = poiszero_sim["p_0_stickbreaking__"]
test_point["p_1_stickbreaking__"] = poiszero_sim["p_1_stickbreaking__"]
res = ffbs.step(test_point)
assert np.array_equal(res["S_t"], poiszero_sim["S_t"])