I have a package https://github.com/mmikhasenko/NumericalDistributions.jl that defines the `Distributions.jl` interfaces for a distribution given by an unnormalized function. See [discourse post](https://discourse.julialang.org/t/ann-numericaldistributions-jl-user-defined-distributions/128025) I'd be happy to merge it into `Distributions.jl`. What are opinions, requirements? - Looking for volunteers to review PR if we agree. How it works now in `NumericalDistributions.jl`: - `QuadGK` for normalization, integral is stored in a struct. Btw: works for forward diff - sampling is done by inverting CDF numerically. It's quite fast with `findfirst`. Pre-computation of CDF is not done in constructor, but moved to `rand`. - methods `mean`, `std`, `quantile` are not implemented, but would be easy to add with the same `QuadGK`. ping @ararslan to follow up on slack discussion.