Add icdf functions for Inverse Gamma distribution

Author: Lucas Eckes

pymc/distributions/continuous.py

@@ -2530,6 +2530,16 @@ def logcdf(value, alpha, beta):
             beta > 0,
             msg="alpha > 0, beta > 0",
         )
+    
+    def icdf(value, alpha, beta):
+        res = 1 / Gamma.icdf(value=1-value, alpha=alpha, scale=1 / beta)
+        res = check_icdf_value(res, value)
+        return check_icdf_parameters(
+            res,
+            alpha > 0,
+            beta > 0,
+            msg="alpha > 0, beta > 0",
+        )
 
 
 class ChiSquared:

tests/distributions/test_continuous.py

@@ -705,6 +705,13 @@ def test_fun(value, mu, sigma):
             decimal=select_by_precision(float64=4, float32=3),
         )
 
+    def test_inverse_gamma_icdf(self):
+        check_icdf(
+            pm.InverseGamma,
+            {"alpha": Rplusbig, "beta": Rplusbig},
+            lambda q, alpha, beta: st.invgamma.ppf(q, alpha, scale=beta),
+        )
+
     def test_pareto(self):
         check_logp(
             pm.Pareto,