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Add DiscreteMarkovChain distribution#100

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ricardoV94 merged 44 commits intopymc-devs:mainpymc-devs/pymc-extras:mainfrom

jessegrabowski:discrete-markovjessegrabowski/pymc-extras:discrete-markovCopy head branch name to clipboard

Apr 20, 2023

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Commits on Dec 16, 2022

• add DiscreteMarkovChainRV

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Commits on Dec 17, 2022

• remove `validate_transition_matrix`

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• remove `x0` argument

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• Add reshape logic to `rv_op` based on size and `init_dist`

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• Remove moot TODO comments

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Commits on Dec 18, 2022

• Update and re-run example notebook

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• Update `pytensor` alias to `pt`

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• Remove moment method

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• Wrap tests into test class

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• Add test for default initial distribution warning

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• Replace `.dimshuffle` with `pt.moveaxis` in `rv_op`

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• Fix scan error

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• Add test for `change_dist_size`

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• Add code example to `DiscreteMarkovChain` docstring

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• Update pymc_experimental/distributions/timeseries.py

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• Remove shape argument from default `init_dist`

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• Use shape parameter in example code

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• Remove steps adjustment from `__new__`

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• Remove `.squeeze()` from scan output

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• Remove dimension check on `init_dist`

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Commits on Dec 19, 2022

• Fix batch size detection

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Commits on Dec 20, 2022

• Add support for n_lags > 1

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• Fix shape of markov_chain when P has a batch_size and n_lags == 1.

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• Add test to recover P when n_lags > 1

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• Fix `logp` shape checking wrong dimension of `init_dist`

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Commits on Apr 15, 2023

• Updates imports following pymc-devs/pymc#6441

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• Add a moment function to `DiscreteMarkovRV`

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• Raise `NotImplementedError` if `init_dist` is not `pm.Categorical`

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• Update example notebook with some new plots

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• Fix a bug that broke `n_lags` > 1

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Commits on Apr 16, 2023

• Rename test function to correctly match test

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Commits on Apr 17, 2023

• rebase from main

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• Add `timeseries.DiscreteMarkovChain` to `api_reference.rst`

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• Remove check on `init_dist`

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• Add `DiscreteMarkovChain` to `distribtuions.__all__`

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• Change example notebook title, add subtitles, add plots comparing results to statsmodels

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• Pass `init_dist` to all tests to avoid `UserWarning`

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• Fix flakey `test_moment_function` test

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• Fix latex in docstring

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• Apply suggestions from code review

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• Fix latex in docstring

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• Merge branch 'discrete-markov' of https://github.com/jessegrabowski/pymc-experimental into discrete-markov

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• Fix latex in docstring

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• Fix warning in docstring

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