Predictive posterior distributions

[caxelrud]

Is it possible to generate predictive posterior distribution after posteriors are available?

[bvdmitri]

Hey @caxelrud!

Unfortunately, at the moment ReactiveMP.jl doesn't provide predictive posterior out of the box. We plan to add this feature in the future. However, it should be possible to obtain the predictive posterior manually. For the different problems, you'd have a different solution to how to do that. If you provide a more specific example, we'll be glad to help you out.

But generally speaking, you can try to initialise the same model you've used for inference, but replace uninformative priors with the inferred posterior distributions to generate predictive posterior distribution. You will probably also need to replace observations with uninformative distributions, e.g. Gaussians with huge variance.

[svilupp]

+1

[albertpod]

@bvdmitri, I will put this issue on hold until @ismailsenoz and I decide on how to incorporate this functionality generically. Some functionality is implemented in the dev-predict branch.