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update GLM-rolling-regression for PyMC 6 #879

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update GLM-rolling-regression for PyMC 6 #879

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1,205 changes: 1,110 additions & 95 deletions examples/generalized_linear_models/GLM-rolling-regression.ipynb
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26 changes: 6 additions & 20 deletions examples/generalized_linear_models/GLM-rolling-regression.myst.md
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Original file line number Diff line number Diff line change
Expand Up @@ -46,7 +46,7 @@ warnings.filterwarnings(action="ignore", category=MatplotlibDeprecationWarning)
RANDOM_SEED = 8927
rng = np.random.default_rng(RANDOM_SEED)
%config InlineBackend.figure_format = 'retina'
az.style.use("arviz-darkgrid")
az.style.use("arviz-variat")
```

Lets load the prices of GFI and GLD.
Expand Down Expand Up @@ -109,25 +109,11 @@ ax = fig.add_subplot(
)
sc = ax.scatter(prices_zscored.GFI, prices_zscored.GLD, c=colors, cmap=mymap, lw=0)

xi = xr.DataArray(prices_zscored.GFI.values)
az.plot_hdi(
xi,
trace_reg.posterior.mu,
color="k",
hdi_prob=0.95,
ax=ax,
fill_kwargs={"alpha": 0.25},
smooth=False,
)
az.plot_hdi(
xi,
trace_reg.posterior.mu,
color="k",
hdi_prob=0.5,
ax=ax,
fill_kwargs={"alpha": 0.25},
smooth=False,
)
xi = prices_zscored.GFI.values
order = np.argsort(xi)
for prob in (0.95, 0.5):
hdi = az.hdi(trace_reg.posterior.mu, prob=prob).values
ax.fill_between(xi[order], hdi[order, 0], hdi[order, 1], color="k", alpha=0.25)

cb = plt.colorbar(sc, ticks=ticks)
cb.ax.set_yticklabels(ticklabels);
Expand Down
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