Adds Wishart and InverseWishart distributions
#170
Conversation
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
…and its log variant `mvlgamma`
…hart distribution implementation
…hart distribution implementation
… pseudo inverse doesn't do this due to approximation
2 tasks
Contributor
|
Thanks for contributing, I do want to introduce this, but after release 0.17 since we're hoping to get more feedback on the multivariate API, see #209, and this should match what have there. |
Author
|
Thanks! Sounds good. I am keeping an eye on it. Let me know if any changes need to be made. |
Contributor
|
#209 is merged, Modifications to match are mostly in the pattern of choosing |
YeungOnion
reviewed
Aug 7, 2024
| let s = w.sample(rng); | ||
|
|
||
| s.cholesky().unwrap().inverse().symmetric_part() | ||
| } |
Contributor
There was a problem hiding this comment.
Would you consider implementing sample_iter to rely on a single conversion to Wishart to obtain multiple samples?
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
2 participants
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
This pr adds
WishartandInverseWishartdistributions along with multivariate gamma functionsmvgammaandmvlgamma.mathnet implementations were used as a reference: Wishart and Inverse Wishart
The Distributions.jl Julia package was used to create the testcases and as a cross-reference.
Thanks
Edit: Sorry for creating a duplicate pr. I have closed the previous one.