import GPy from scipy.special import gamma, gammaln class student_t(GPy.likelihoods.likelihood_function): """Student t likelihood distribution For nomanclature see Bayesian Data Analysis 2003 p576 Laplace: Needs functions to calculate ln p(yi|fi) dln p(yi|fi)_dfi d2ln p(yi|fi)_d2fi """ def __init__(self, deg_free, sigma=1): self.v = deg_free self.sigma = 1 def link_function(self, y_i, f_i): """link_function $\ln p(y_i|f_i)$ :y_i: datum number i :f_i: latent variable f_i :returns: float(likelihood evaluated for this point) """ e = y_i - f_i return gammaln((v+1)*0.5) - gammaln(v*0.5) - np.ln(v*np.pi*sigma)*0.5 - (v+1)*0.5*np.ln(1 + ((e/sigma)**2)/v) def link_grad(self, y_i, f_i): """gradient of the link function at y_i, given f_i w.r.t f_i :y_i: datum number i :f_i: latent variable f_i :returns: float(gradient of likelihood evaluated at this point) """ pass def link_hess(self, y_i, f_i, f_j): """hessian at this point (the hessian will be 0 unless i == j) i.e. second derivative w.r.t f_i and f_j :y_i: @todo :f_i: @todo :f_j: @todo :returns: @todo """ if f_i = pass