我一直在尝试按照PYMC3 https://pymc-devs.github.io/pymc3/getting_started/上的教程进行操作,但是当我进入下面的代码部分时,我遇到了错误......
from pymc3 import Exponential, T, logtransform, exp, Deterministic
from pymc3.distributions.timeseries import GaussianRandomWalk
with Model() as sp500_model:
nu = Exponential('nu', 1./10, testval=.1)
sigma, log_sigma = sp500_model.TransformedVar('sigma', Exponential.dist(1./.02, testval=.1),
logtransform)
s = GaussianRandomWalk('s', sigma**-2, shape=n)
volatility_process = Deterministic('volatility_process', exp(-2*s))
r = T('r', nu, lam=volatility_process, observed=returns)
第一个错误是“无法导入名称logtransform
”。
第二个错误(如果我不尝试加载logtransform
)是“'模型'对象没有属性TransformedVar
”。
我在Windows 7的IPython Notebook中运行它,我尝试卸载并重新安装PyMC3无济于事。
答案 0 :(得分:5)
当前版本的pymc3与the tutorial不同步。
TransformedVar
was removed于2015-06-03。
pymc3.logtransform
was removed于2015-06-15。
新方法no longer requires TransformedVar:
sigma, log_sigma = model.TransformedVar(
'sigma', Exponential.dist(1. / .02, testval=.1),
logtransform)
替换为
sigma = Exponential('sigma', 1. / .02, testval=.1)
您的pymc3安装应包含pymc3/examples/stochastic_volatility.py
。
与在线教程不同,此代码应与您的pymc3版本保持一致。
可以通过这种方式简化代码的原因是因为Exponential
是PositiveContinuous
的子类,而这个类uses the logtransform by default。
记录中,这是当前版本的stochastic_volatility.py(as of 2015-06-04):
from matplotlib.pylab import *
import numpy as np
from pymc3 import *
from pymc3.distributions.timeseries import *
from scipy.sparse import csc_matrix
from scipy import optimize
n = 400
returns = np.genfromtxt(get_data_file('pymc3.examples', "data/SP500.csv"))[-n:]
returns[:5]
model = Model()
with model:
sigma= Exponential('sigma', 1. / .02, testval=.1)
nu = Exponential('nu', 1. / 10)
s = GaussianRandomWalk('s', sigma ** -2, shape=n)
r = T('r', nu, lam=exp(-2 * s), observed=returns)
def run(n=2000):
if n == "short":
n = 50
with model:
start = find_MAP(vars=[s], fmin=optimize.fmin_l_bfgs_b)
step = NUTS(model.vars, scaling=start, gamma=.25)
trace = sample(5, step, start)
# Start next run at the last sampled position.
start2 = trace.point(-1)
step2 = NUTS(model.vars, scaling=start2, gamma=.25)
trace = sample(n, step2, trace=trace)
# <codecell>
# figsize(12,6)
title(str(s))
plot(trace[s][::10].T, 'b', alpha=.03)
xlabel('time')
ylabel('log volatility')
# figsize(12,6)
traceplot(trace, model.vars[:-1])
if __name__ == '__main__':
run()
我是通过克隆来自github的pymc3找到的:
git clone https://github.com/pymc-devs/pymc3
然后查看影响transforms.py的提交:
gitk pymc3/distributions/transforms.py
gitk pymc3/distributions/continuous.py
gitk pymc3/examples/stochastic_volatility.py
一旦找到提交哈希(例如c3120bce05bf8f1389272e1c38ddf83cb46c8d84), github上的相应提交位于:
https://github.com/pymc-devs/pymc3/commit/c3120bce05bf8f1389272e1c38ddf83cb46c8d84
我无法在相关时间段(2015-06-xx)找到a github issue,其中讨论/解释了这一变化。