# First steps with bayesloop¶

*bayesloop* models feature a two-level hierarchical structure: the
low-level, observation model filters out measurement noise and provides
the parameters, that one is interested in (volatility of stock prices,
diffusion coefficient of particles, directional persistence of migrating
cancer cells, rate of randomly occurring events, ...). The observation
model is, in most cases, given by a simple and well-known stochastic
process: price changes are Gaussian-distributed, turning angles of
moving cells follow a von-Mises distribution and the number of rare
events within a given interval of time is Poisson-distributed. The aim
of the observation model is to describe the measured data on a short
time scale, while the parameters may change on longer time scales. The
high-level, transition model describes *how* the parameters of the
observation model change over time, i.e. whether there are abrupt
parameter jumps or gradual variations. The transition model may itself
depend on so-called hyper-parameters, for example the likelihood of
parameter jumps, the magnitude of gradual parameter variations or the
slope of a deterministic linear trend. The following tutorials show how
to use the *bayesloop* module to infer both time-varying parameter
values of the observation model as well as the hyper-parameter values of
the transition model and compare different hypotheses about the
parameter dynamics by approximating the model evidence, i.e. the
probability of the measured data, given the observation model and
transition model.

The first section of the tutorial introduces the main class of the
module, `Study`

, which enables fits of time-varying parameter models
with fixed hyper-parameter values and the optimization of such
hyper-parameters based on the model evidence. We provide a detailed
description of how to import data, set the observation model and
transition model, and perform the model fit. Finally, a plotting
function to display the results is discussed briefly. This tutorial
therefore provides the basis for later tutorials that discuss the
extended classes `HyperStudy`

, `ChangepointStudy`

and
`OnlineStudy`

.

## Study class¶

To start a new data study/analysis, create a new instance of the
`Study`

class:

```
In [1]:
```

```
%matplotlib inline
import matplotlib.pyplot as plt # plotting
import seaborn as sns # nicer plots
sns.set_style('whitegrid') # plot styling
import bayesloop as bl
S = bl.Study()
```

```
+ Created new study.
```

This object is central to an analysis conducted with *bayesloop*. It
stores the data and further provides the methods to perform
probabilistic inference on the models defined within the class, as
described below.

## Data import¶

In this first study, we use a simple, yet instructive example of heterogeneous time series, the annual number of coal mining accidents in the UK from 1851 to 1962. The data is imported as a NumPy array, together with corresponding timestamps. Note that setting timestamps is optional (if none are provided, timestamps are set to an integer sequence: 0, 1, 2,...).

```
In [2]:
```

```
import numpy as np
data = np.array([5, 4, 1, 0, 4, 3, 4, 0, 6, 3, 3, 4, 0, 2, 6, 3, 3, 5, 4, 5, 3, 1, 4,
4, 1, 5, 5, 3, 4, 2, 5, 2, 2, 3, 4, 2, 1, 3, 2, 2, 1, 1, 1, 1, 3, 0,
0, 1, 0, 1, 1, 0, 0, 3, 1, 0, 3, 2, 2, 0, 1, 1, 1, 0, 1, 0, 1, 0, 0,
0, 2, 1, 0, 0, 0, 1, 1, 0, 2, 3, 3, 1, 1, 2, 1, 1, 1, 1, 2, 3, 3, 0,
0, 0, 1, 4, 0, 0, 0, 1, 0, 0, 0, 0, 0, 1, 0, 0, 1, 0])
S.load(data, timestamps=np.arange(1852, 1962))
```

```
+ Successfully imported array.
```

Note that this particular data set is also hard-coded into the `Study`

class, for convenient testing:

```
In [3]:
```

```
S.loadExampleData()
```

```
+ Successfully imported example data.
```

In case you have multiple observations for each time step, you may also
provide the data in the form
`np.array([[x1,y1,z1], [x2,y2,z2], ..., [xn,yn,zn]])`

. Missing data
points should be included as `np.nan`

.

## Observation model¶

The first step to create a probabilistic model to explain the data is to
define the **observation model**, or **likelihood**. The observation
model states the probability (density) of a data point at time
\(t\), given the parameter values at time \(t\) and possibly
past data points. It therefore resembles the low-level model, in
contrast to the transition model which describes how the parameters of
the observation model change over time.

As coal mining disasters fortunately are rare events, we may model the
number of accidents per year by a
Poisson
distribution. In *bayesloop*, this is done as follows:

```
In [4]:
```

```
L = bl.observationModels.Poisson('accident_rate', bl.oint(0, 6, 1000))
S.set(L)
```

```
+ Observation model: Poisson. Parameter(s): ['accident_rate']
```

We first define the observation model and provide two arguments: A name
for the only parameter of the model, the `'accident_rate'`

. We further
have to provide discrete values for this parameter, as *bayesloop*
computes all probability distributions on grids. As the Poisson
distribution expects its parameter to be greater than zero, we choose an
*open* interval between 0 and 6 with 1000 equally spaced values in
between, by using the function `bl.oint()`

. For closed intervals, one
can also use `bl.cint()`

, which acts exactly like the function
`linspace`

from NumPy. To avoid singularities in the probability
values of the observation model, it is however recommended to use
`bl.oint()`

in most cases. Finally, we assign the defined observation
model to our study instance with the method `set()`

.

As the parameter boundaries depend on the data at hand, *bayesloop* will
estimate appropriate parameter values, if one does not provide them:

```
In [5]:
```

```
L = bl.observationModels.Poisson('accident_rate')
S.set(L)
```

```
+ Estimated parameter interval for "accident_rate": [0.00749250749251, 7.49250749251] (1000 values).
+ Observation model: Poisson. Parameter(s): ['accident_rate']
```

Note that you can also use the following short form to define
observation models: `L = bl.om.Poisson()`

. All currently implemented
observation models can be looked up in the API Docs or
directly in `observationModels.py`

. *bayesloop* further supports all
probability distributions that are included in the
scipy.stats
as well as the
sympy.stats module.
See this tutorial for instructions on
how to build custom observation models from arbitrary distributions.

In this example, the observation model only features a single parameter.
If we wanted to model the annual number of accidents with a Gaussian
distribution instead, we have to supply two parameter names (`mean`

and `std`

) and corresponding values:

```
L = bl.om.Gaussian('mean', bl.cint(0, 6, 200), 'std', bl.oint(0, 2, 200))
S.set(L)
```

Again, if we are not sure about parameter boundaries, we may assign
`None`

to one or all parameters, and *bayesloop* will estimate them:

```
L = bl.om.Gaussian('mean', None, 'std', bl.oint(0, 2, 200))
S.set(L)
```

The order has to remain `Name, Value, Name, Value, ...`

, which is why
we cannot simply omit the values and have to write `None`

instead.

## Transition model¶

As the dynamics of many real-world systems are the result of a multitude
of underlying processes that act on different spatial and time scales,
common statistical models with static parameters often miss important
aspects of the systems’ dynamics (see e.g. this
article). *bayesloop*
therefore calls for a second model, the **transition model**, which
describes the temporal changes of the model parameters.

In this example, we assume that the accident rate itself may change
gradually over time and choose a Gaussian random walk with the standard
deviation \(\sigma=0.2\) as transition model. As for the observation
model, we supply a unique name for hyper-parameter \(\sigma\) (named
`sigma`

) that describes the standard deviation of the parameter
fluctuations and therefore the magnitude of changes. Again, we have to
assign values for `sigma`

, but only choose a single fixed value of
0.2, instead of a whole set of values. This single value can be
optimized, by maximizing the model evidence, see
here. To analyze and compare a set
of different values, one may use an instance of a `HyperStudy`

that is
described in detail here. in this first example,
we simply take the value of 0.2 as given. As the observation model may
contain several parameters, we further have specify the parameter
`accident_rate`

as the target of this transition model.

```
In [6]:
```

```
T = bl.transitionModels.GaussianRandomWalk('sigma', 0.2, target='accident_rate')
S.set(T)
```

```
+ Transition model: Gaussian random walk. Hyper-Parameter(s): ['sigma']
```

Note that you can also use the following short form to define transition
models: `T = bl.tm.GaussianRandomWalk()`

. All currently implemented
transition models can be looked up in the API Docs or
directly in `transitionModels.py`

.

## Model fit¶

At this point, the hierarchical time series model for the coal mining
data set is properly defined and we may continue to perform the model
fit. *bayesloop* employs a forward-backward algorithm that is based on
Hidden Markov models. It
basically breaks down the high-dimensional inference problem of all time
steps into many low-dimensional ones for each individual time step. The
inference algorithm is implemented by the `fit`

method:

```
In [7]:
```

```
S.fit()
```

```
+ Started new fit:
+ Formatted data.
+ Set prior (function): jeffreys. Values have been re-normalized.
+ Finished forward pass.
+ Log10-evidence: -74.63801
+ Finished backward pass.
+ Computed mean parameter values.
```

By default, `fit`

computes the so-called *smoothing distribution* of
the model parameters for each time step. This distribution states the
probability (density) of the parameter value at a time step \(t\),
given all past and future data points. All distributions have the same
shape as the parameter grid, and are stored in `S.posteriorSequence`

for further analysis. Additionally, the mean values of each distribution
are stored in `S.posteriorMeanValues`

, as point estimates. Finally,
the (natural) logarithmic value of the model evidence, the probability
of the data given the chosen model, is stored in `S.logEvidence`

(more
details on evidence values follow).

To simulate an on-line analysis, where at each step in time \(t\),
only past data points are available, one may provide the
keyword-argument `forwardOnly=True`

. In this case, only the
*forward*-part of the algorithm in run. The resulting parameter
distributions are called *filtering distributions*.

## Plotting¶

To display the temporal evolution or the distribution of the model
parameters at a certain time step, the `Study`

class provides the
method `plot`

. If no time step is specified, the method displays the
mean values together with the marginal distributions for one parameter
of the model. The parameter to be plotted can be chosen by providing its
name.

Here, we plot the original data (in red) together with the inferred
disaster rate (mean value in black). The marginal parameter distribution
is displayed as a blue overlay, by default with a gamma correction of
\(\gamma=0.5\) to enhance relative differences in the width of the
distribution (this behavior can be changed by the keyword argument
`gamma`

):

```
In [8]:
```

```
plt.figure(figsize=(8, 4))
# plot of raw data
plt.bar(S.rawTimestamps, S.rawData, align='center', facecolor='r', alpha=.5)
# parameter plot
S.plot('accident_rate')
plt.xlim([1851, 1961])
plt.xlabel('year');
```

From this first analysis, we may conclude that before 1880, an average
of \(\approx 3\) accidents per year were recorded. This changes
significantly between 1880 and 1900, when the accident-rate drops to
\(\approx 1\) per year. We can also directly inspect the
distribution of the accident rate at specific points in time, using the
`plot`

method with specified keyword argument `t`

:

```
In [9]:
```

```
plt.figure(figsize=(8, 4))
S.plot('accident_rate', t=1880, facecolor='r', alpha=0.5, label='1880')
S.plot('accident_rate', t=1900, facecolor='b', alpha=0.5, label='1900')
plt.legend()
plt.xlim([0, 5]);
```

Without the `plot=True`

argument, this method only returns the
parameter values (`r1`

, `r2`

, as specified when setting the
observation model) as well as the corresponding probability values
`p1`

and `p2`

. Note that the returned probability values are always
normalized to 1, so that we may easily evaluate the probability of
certain conditions, like the probability of an accident rate < 1 in the
year 1900:

We can further evaluate the probability of certain conditions, for
example the probability that the accident rate was < 1 in the year 1900,
using the `eval`

method:

```
In [10]:
```

```
S.eval('accident_rate < 1', t=1900);
```

```
P(accident_rate < 1) = 0.42198256057
```

For further details on the evaluation of probabilities derived from a
combination of inferred parameters (possibly from different `Study`

instances), see this tutorial

## Saving studies¶

As the `Study`

class instance (above denoted by `S`

) of a conducted
analysis contains all information about the inferred parameter values,
it may be convenient to store the entire instance `S`

to file. This
way, it can be loaded again later, for example to refine the study,
create different plots or perform further analyses based on the obtained
results. *bayesloop* provides two functions, `bl.save()`

and
`bl.load()`

to store and retrieve existing studies:

```
bl.save('file.bl', S)
...
S = bl.load('file.bl)
```