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 $$\ln(\frac{\Gamma(\frac{(v+1)}{2})}{\Gamma(\sqrt(v \pi \Gamma(\frac{v}{2}))})+ \ln(1+\frac{(y_i-f_i)^2}{\sigma v})^{-\frac{(v+1)}{2}}$$ TODO:Double check this 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 $\ln p(y_i|f_i)$ $$\ln \Gamma(\frac{v+1}{2}) - \ln \Gamma(\frac{v}{2}) - \ln \frac{v \pi \sigma}{2} - \frac{v+1}{2}\ln (1 + \frac{(y_{i} - f_{i})^{2}}{v\sigma})$$ TODO: Double check this :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) #Check the /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 derivative of log((gamma((v+1)/2)/gamma(sqrt(v*pi*gamma(v/2))))*(1+(t^2)/(a*v))^((-(v+1))/2)) with respect to t $$\frac{(y_i - f_i)(v + 1)}{\sigma v (y_{i} - f_{i})^{2}}$$ TODO: Double check this :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 second derivative of :y_i: @todo :f_i: @todo :f_j: @todo :returns: @todo """ if f_i = pass