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AltDistributions

Implementations for some distributions using a consistent API and AD-friendly code.

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AltDistributions

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This is a collection of some probability distributions I find useful, primarily for Bayesian estimation. Eventually, they should be considered for contributing to Distributions.jl, but currently they reside in this package because

  1. I am experimenting with the interface,
  2. I am experimenting with the implementation (making it friendly to automatic differentiation),
  3. not all functionality is implemented (eg only the logpdf).

When the name of distributions coincides with one in Distributions, it is prefixed with Alt, eg AltMvNormal.

Bibliography

  • Lewandowski, Daniel, Dorota Kurowicka, and Harry Joe. "Generating random correlation matrices based on vines and extended onion method." Journal of multivariate analysis 100.9 (2009): 1989–2001.

First Commit

11/09/2018

Last Touched

about 1 month ago

Commits

11 commits

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