Implement compute_log_likelihood
method
#769
Merged
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This PR adds a new method called
compute_log_likelihood
which is mostly useful to get the log likelihood for out of sample observations. It's still useful to compute the log likelihood for in sample observations, but they were already available withmodel.fit(..., idata_kwargs = {"log_likelihood": True})
.Basic example
Context
This PR closes #766, where this was mentioned and briefly discussed.
Caveat
Notice this is a draft and I don't expect the implementation to work in all cases. Also, the implementation itself could be polished as there's a lot of repetitive code now since the method for
compute_log_likelihood
is extremely close to theposterior_predictive
.