create_complexity_penalizing_prior#

pymc_marketing.mmm.hsgp.create_complexity_penalizing_prior(*, alpha=FieldInfo(annotation=float, required=False, default=0.1, metadata=[Gt(gt=0), Lt(lt=1)]), lower=FieldInfo(annotation=float, required=False, default=1.0, metadata=[Gt(gt=0)]))[source]#

Create prior that penalizes complexity for GP lengthscale.

The prior is defined with the following property:

\[P[\ell < \text{lower}] = \alpha\]

Where \(\ell\) is the lengthscale

Parameters:

alphafloat: Tail probability.
lowerfloat: Lower bound for the lengthscale.

Returns:

Prior: Weibull prior for the lengthscale with the given properties.

References

[1]

Geir-Arne Fuglstad, Daniel Simpson, Finn Lindgren, Håvard Rue (2015).