Raise informative error when passing masked data to Data

Author: ricardoV94

pymc/data.py

@@ -423,6 +423,11 @@ def Data(
     # `convert_observed_data` takes care of parameter `value` and
     # transforms it to something digestible for PyTensor.
     arr = convert_observed_data(value)
+    if isinstance(arr, np.ma.MaskedArray):
+        raise NotImplementedError(
+            "Masked arrays or arrays with `nan` entries are not supported. "
+            "Pass them directly to `observed` if you want to trigger auto-imputation"
+        )
 
     if mutable is None:
         warnings.warn(

tests/test_data.py

@@ -437,6 +437,14 @@ def test_data_mutable_default_warning(self):
             assert isinstance(data, pt.TensorConstant)
         pass
 
+    def test_masked_array_error(self):
+        with pm.Model():
+            with pytest.raises(
+                NotImplementedError,
+                match="Masked arrays or arrays with `nan` entries are not supported.",
+            ):
+                pm.ConstantData("x", [0, 1, np.nan, 2])
+
 
 def test_data_naming():
     """