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View Code? Open in Web Editor NEWAdvanced Statistical Computing at Vanderbilt University Medical Center's Department of Biostatistics
Home Page: http://fonnesbeck.github.io/Bios8366/
Advanced Statistical Computing at Vanderbilt University Medical Center's Department of Biostatistics
Home Page: http://fonnesbeck.github.io/Bios8366/
Moving to URLs will allow notebooks to be standalone.
In the Expectation and Maximization notebook,
I am not sure, but can you check the following E-step
a = psi * (x == 0)
b = (1-psi)*poisson.pmf(x, mu)
is correct? The following can be correct.
a = (1-psi) * (x == 0)
b = psi*poisson.pmf(x, mu)
Excellent work.
And I found a typo in Section3_1-Expectation-Maximization.ipynb
-General formulation
from scipy.stats.distributions import norm
def e_step(x, mu, sigma, psi):
a = psi * norm.pdf(x, mu[0], sigma[0])
b = (1. - psi) * norm.pdf(x, mu[1], sigma[1])
return b / (a + b)
should be
def e_step(x, mu, sigma, psi):
a = (1. - psi) * norm.pdf(x, mu[0], sigma[0])
b = psi * norm.pdf(x, mu[1], sigma[1])
return b / (a + b)
Becasue m_step
output psi
of second distribution and to be consistent with formula.
The conditional function takes as input (x_new, x, y, params), there is no need to pass y in the function. By definition of conditional probability above conditional distribution, "x_new" represent "x" and "x" represent "y".
Correct implementation would be:
def conditional(x_new, x, params):
B = exponential_cov(x_new, x, params)
C = exponential_cov(x, x, params)
A = exponential_cov(x_new, x_new, params)
mu = np.linalg.inv(C).dot(B.T).T.dot(x) // y is replace by x.
sigma = A - B.dot(np.linalg.inv(C).dot(B.T))
return(mu.squeeze(), sigma.squeeze())
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