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Mixture of Gaussians and Pymc3

Hi,

I'm new to MCMC sampling techniques. Can someone give me pointers on how I would use pymc3 to model a mixture of gaussians ?

Something like:
y = (p) * N(mean1,sigma1) + (1-p)*N(mean2, sigma2) ?

And how to generalize to any number of gaussians?

Thanks,
Winnie

3 responses

Hi Winnie,
We don't currently support pymc3, but it may be possible to add it to the modules we support. Do you want me to look into adding this module to Quantopian?

You can also do this with numpy, if I'm understanding you correctly. See here. I think you could create an MC sample for different gaussians, then superimpose the samples together and sample from that distribution. There probably some other good approaches, too.

Gus

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Hi, is there any update on this? Has Pymc3 been added to the list of supported libraries?

Hi, it’d be really nice to add pymc3...