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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.
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
andfind_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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