stan-dev / stan-dev/projpred

Implement student-t likelihood

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enhancement
Dominant language
R
Stars
114
Forks
31
PR merge metrics
No merged PRs in 30d

Description

The projection for the student-t likelihood would be a nice addition to the package. The student-t is not a log-concave likelihood, and thus the implementation using the same framework as for other likelihoods is likely to cause some problems. However, there is another idea of doing the projection similarly as for the Gaussian case by expressing the t-distribution as a scale mixture of Gaussians, and then using the Gaussian projection with the observations weighted by their precisions. This is not the same as measuring the KL-divergence between the t-distributions but should be easy to implement and might give reasonable results.

Contributor guide

Open the contributing guide

First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Start by locating the existing Gaussian projection and the likelihood-projection entry point. Compare the proposed scale-mixture approach with the current framework, then determine how the student-t behavior should be validated and what results would count as reasonable.

Written by the indexing model from the issue text.

Assessment

Tech stack
r
Domain
machine-learning
Issue type
Feature
Difficulty
5/5
Estimated time
Over a week
Activity status
Stale
Clarity
Needs clarification
Newbie friendliness
25/100

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