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Probabilistic Programming in Python

Summary

Probabilistic Programming allows flexible specification of statistical models to gain insight from data. The high interpretability and ease by which different sources can be combined has huge value for Data Science. PyMC3 features next generation sampling algorithms, an intuitive model specification syntax, and just-in-time compilation for speed, to allow estimation of large-scale probabilistic models.

Description

Probabilistic Programming allows flexible specification of statistical models to gain insight from data. Estimation of best fitting parameter values, as well as uncertainty in these estimations, can be automated by sampling algorithms like Markov chain Monte Carlo (MCMC). The high interpretability and flexibility of this approach has lead to a huge paradigm shift in scientific fields ranging from Cognitive Science to Data Science and Quantitative Finance.

PyMC3 is a new Python module that features next generation sampling algorithms and an intuitive model specification syntax. The whole code base is written in pure Python and Just-in-time compiled via Theano for speed.

In this talk I will provide an intuitive introduction to Bayesian statistics and how probabilistic models can be specified and estimated using PyMC3.

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