PYMC3 model code to do signature fitting using NUTS

sigfit_pymc3.py

"""
PYMC3 model code to do signature fitting using NUTS
"""
import pymc3
from theano import tensor

mytest = pymc3.Model()
counts = data
with mytest:
    mixing_proportions = pymc3.Dirichlet('mixing_proportions', a = np.ones(30), shape = 30)
    likelihood = pymc3.Multinomial('likelihood',
                                  n = counts.sum(),
                                  p = tensor.dot(signatures.T, mixing_proportions),
                                  observed = counts)

with mytest:
    trace = pymc3.sample(10000)