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Add function that goes from transformed space to untransformed space #6721

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ricardoV94 opened this issue May 18, 2023 · 1 comment
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@ricardoV94
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ricardoV94 commented May 18, 2023

Description

Because we don't save transformed variables in the returned InferenceData (why not?) it's not easy to evaluate the model logp once we have a trace.

One could rewrite the model without transforms (and we can make this automatically for the user) This is possible with https://www.pymc.io/projects/docs/en/stable/api/model/generated/pymc.model.transform.conditioning.remove_value_transforms.html

But someone might still want to evaluate it in the original model (with jacobians and all that).

One dirty implementation is given here: https://discourse.pymc.io/t/logp-questions-synthetic-dataset-to-evaluate-modeling/12129/6?u=ricardov94

@ricardoV94
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Results should be saved in https://python.arviz.org/en/latest/schema/schema.html#unconstrained-posterior

We should make sure there's an option from pm.sample to store those, besides allowing users to populate them afterwards with a helper as initially suggested in this issue

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