Custom Theano Op to do numerical integration

Question

I\'m attempting to write a custom Theano Op which numerically integrates a function between two values. The Op is a custom likelihood for PyMC3 which involves the numerical

Answer 1

I always use the following code where I generate B = 10000 samples of n = 30 observations from a normal distribution with µ = 1 and σ 2 = 2.25. For each sample, the parameters µ and σ are estimated and stored in a matrix. I hope this can help you.

loglik <- function(p,z){
sum(dnorm(z,mean=p[1],sd=p[2],log=TRUE))
}
set.seed(45)
n <- 30
x <- rnorm(n,mean=1,sd=1.5)
optim(c(mu=0,sd=1),loglik,control=list(fnscale=-1),z=x)

B <- 10000
bootstrap.results <- matrix(NA,nrow=B,ncol=3)
colnames(bootstrap.results) <- c("mu","sigma","convergence")
for (b in 1:B){
sample.b <- rnorm(n,mean=1,sd=1.5)
m.b <- optim(c(mu=0,sd=1),loglik,control=list(fnscale=-1),z=sample.b)
bootstrap.results[b,] <- c(m.b$par,m.b$convergence)
}

One can also obtain the ML estimate of λ and use the bootstrap to estimate the bias and the standard error of the estimate. First calculate the MLE of λ Then, we estimate the bias and the standard error of λˆ by a nonparametric bootstrap.

B <- 9999
lambda.B <- rep(NA,B)
n <- length(w.time)
for (b in 1:B){
b.sample <- sample(1:n,n,replace=TRUE)
lambda.B[b] <- 1/mean(w.time[b.sample])
}
bias <- mean(lambda.B-m$estimate)
sd(lambda.B)

In the second part we calculate a 95% confidence interval for the mean time between failures.

n <- length(w.time)
m <- mean(w.time)
se <- sd(w.time)/sqrt(n)
interval.1 <- m + se * qnorm(c(0.025,0.975))
interval.1

But we can also use the the assumption that the data are from an exponential distribution. In that case we have varX¯ = 1/(nλ^2) = θ^{2}/n which can be estimated by X¯^{2}/n.

sd.m <- sqrt(m^2/n)
interval.2 <- m + sd.m * qnorm(c(0.025,0.975))
interval.2

We can also estimate the standard error of ˆθ by means of a boostrap procedure. We use the nonparametric bootstrap, that is, we sample from the original sample with replacement.

B <- 9999
m.star <- rep(NA,B)
for (b in 1:B){
m.star[b] <- mean(sample(w.time,replace=TRUE))
}
sd.m.star <- sd(m.star)
interval.3 <- m + sd.m.star * qnorm(c(0.025,0.975))
interval.3
An interval not based on the assumption of normality of ˆθ is obtained by the percentile method:

interval.4 <- quantile(m.star, probs=c(0.025,0.975))
interval.4