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Incorrect uncertainties whe used with PyMC4 and PyMC5 #2

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ivanistheone opened this issue Jan 27, 2024 · 0 comments
Open

Incorrect uncertainties whe used with PyMC4 and PyMC5 #2

ivanistheone opened this issue Jan 27, 2024 · 0 comments

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@ivanistheone
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In case anyone is using this library with PyMC v4 or v5, note the need to "un-transform" the variables before computing the Hessian, otherwise the uncertainty of the estimates will be incorrect.

I read about this problem here: pymc-devs/pymc#5443 (comment)

Applying the fix to the quap function looks like this:
ivanistheone/pymc_Rethinking_3@0f498e7

Note this is not an issue in PyMC3 since the find_MAP and find_hessian are both base don un-transformed coordinates.

I'd be happy to submit a PR with this fix, though not sure how to make the code compatible with both PyMC3 and PyMC4+.

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