Add SymmetricMvLaplace distribution#2004
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dom-linkevicius wants to merge 12 commits intoJuliaStats:masterfrom
Open
Add SymmetricMvLaplace distribution#2004dom-linkevicius wants to merge 12 commits intoJuliaStats:masterfrom
SymmetricMvLaplace distribution#2004dom-linkevicius wants to merge 12 commits intoJuliaStats:masterfrom
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Codecov Report✅ All modified and coverable lines are covered by tests. Additional details and impacted files@@ Coverage Diff @@
## master #2004 +/- ##
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+ Coverage 86.35% 86.44% +0.08%
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Files 146 147 +1
Lines 8782 8835 +53
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+ Hits 7584 7637 +53
Misses 1198 1198 ☔ View full report in Codecov by Sentry. 🚀 New features to boost your workflow:
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As per title, I needed a multivariate Laplace distribution in some applications,
Distributions.jldidn't seem to have it, so here is one of its versions (of the few possible). This PR follows the mathematical description provided here. A lot of the code is based onMvNormalimplementation because externally they have lots of similarities.Stuff done/to do (trying to follow the requirements outlined in the docs:
lengthsampler- it wasn't immediately obvious to me that a more efficient sampler for batches exists, so I didn't implement one. If I am missing something, please let me know and I'll try to implement it.eltypeDistributions._rand!Distributions._logpdfmeanvarcovinvcovFeedback welcome!