fix: correct weighted log_pdf in NormalDist and InvGaussDist#458
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DEEP-600 wants to merge 3 commits into
Open
fix: correct weighted log_pdf in NormalDist and InvGaussDist#458DEEP-600 wants to merge 3 commits into
DEEP-600 wants to merge 3 commits into
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Align SciPy invgauss parameter mapping for weighted/non-unit-scale cases and add regression tests against closed-form inverse-Gaussian log-density.
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Two related weighted-likelihood fixes in
pygam/distributions.py:What changed
NormalDist
Aligns with GLM convention: Var = scale² / w, not scale² / w².
InvGaussDist
where
gamma = weights / self.scale. Matches correct inverse-Gaussian parameterization under weights.Tests
Added
test_distributions.pywith 6 tests covering both fixes — control cases and weighted/non-unit-scale parity against closed-form.All 6 pass:
pytest test_distributions.py -q → 6 passedImpact
Fixes log-likelihood calculations under weighted settings → corrects AIC, AICc, GCV, pseudo R² for LinearGAM and InvGaussGAM with non-uniform weights. Fitted coefficients unaffected.