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I've looked through PyMC3 documentation and haven't seen any tutorials/resources on learning to use Splines w/ PyMC3. Could anyone recommend a resource? I see that Stan tutorials are available. I figure if one isn't available in the official PyMC3 documentation, someone here might have written one.

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Here is a minimal example, which works for a DataFrame df with columns X and Y. It uses patsy, which is (still) my go-to package for splines in Python

df = pd.DataFrame({'X':np.arange(-5, 5, .1),
                   'Y':Y  # add your data here
                  })
B = patsy.dmatrix('bs(X, knots=np.arange(-5,5,1), degree=3)', df, 
                  return_type='dataframe')

with pm.Model() as model:
    a_raw = pm.Normal('a_raw', mu=0, sd=1, shape=num_basis)
    tau = pm.Cauchy('tau', alpha=1, beta=1)
    sigma = pm.Cauchy('sigma', alpha=1, beta=1)
    y_hat = pm.Deterministic('y_hat', tt.dot(B, a_raw*tau))
    y = pm.Normal('y', mu=y_hat, sd=sigma, observed=df.Y)
    trace = pm.sample(500, cores=2)

It seems to work: visual evidence of success

Here is a notebook that puts the whole thing in context: https://gist.github.com/aflaxman/d34ceddec6663c15930abff7257d84f9

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    $\begingroup$ Wow, thanks! Question- B = patsy.dmatrix('bs(X, knots=np.arange(-5,5,1), degree=3)', df, return_type='dataframe') I notice that changes to degree increase/decrease the number of columns produced. I believe that degree affects the number of knots influencing any given data point, but the total number of knots should be the same, regardless. So I'm confused...why is it variable? $\endgroup$
    – jbuddy_13
    Nov 12, 2020 at 14:38

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