python回归预测_python – 估计回归中的后验预测

假设我有一组随机的X,Y分：

x = np.array(range(0,50))

y = np.random.uniform(low=0.0, high=40.0, size=200)

y = map((lambda a: a[0] + a[1]), zip(x,y))

plt.scatter(x,y)

假设我使用线性回归对y的每个值将y建模为高斯,我如何估计posterior predictive,即x(y)的每个(可能)值的p(y | x)？

使用pymc或scikit-learn有没有直接的方法？

最佳答案 如果我理解你想要什么,你可以使用git版本的PyMC(PyMC3)和glm子模块来做到这一点.

例如

import numpy as np

import pymc as pm

import matplotlib.pyplot as plt

from pymc import glm

## Make some data

x = np.array(range(0,50))

y = np.random.uniform(low=0.0, high=40.0, size=50)

y = 2*x+y

## plt.scatter(x,y)

data = dict(x=x, y=y)

with pm.Model() as model:

# specify glm and pass in data. The resulting linear model, its likelihood and

# and all its parameters are automatically added to our model.

pm.glm.glm('y ~ x', data)

step = pm.NUTS() # Instantiate MCMC sampling algorithm

trace = pm.sample(2000, step)

##fig = pm.traceplot(trace, lines={'alpha': 1, 'beta': 2, 'sigma': .5});## traces

fig = plt.figure()

ax = fig.add_subplot(111)

plt.scatter(x, y, label='data')

glm.plot_posterior_predictive(trace, samples=50, eval=x,

label='posterior predictive regression lines')

得到这样的东西

您应该会发现这些博客文章很有趣：

1和2从那里我采取了这些想法.

编辑

为了获得每个x的y值,请尝试从挖掘到glm源中获得的值.

lm = lambda x, sample: sample['Intercept'] + sample['x'] * x ## linear model

samples=50 ## Choose to be the same as in plot call

trace_det = np.empty([samples, len(x)]) ## initialise

for i, rand_loc in enumerate(np.random.randint(0, len(trace), samples)):

rand_sample = trace[rand_loc]

trace_det[i] = lm(x, rand_sample)

y = trace_det.T

y[0]

抱歉,如果它不是最优雅的 – 希望你能遵循逻辑.