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Add icdf functions for Inverse Gamma distribution #7917

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Add icdf functions for Inverse Gamma distribution #7917

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Add icdf functions for Inverse Gamma distribution
Sep 26, 2025
45b0b36
pre-commit linting
Sep 26, 2025
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10 changes: 10 additions & 0 deletions pymc/distributions/continuous.py
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Original file line number Diff line number Diff line change
Expand Up @@ -2531,6 +2531,16 @@ def logcdf(value, alpha, beta):
msg="alpha > 0, beta > 0",
)

def icdf(value, alpha, beta):
res = 1 / Gamma.icdf(value=1 - value, alpha=alpha, scale=1 / beta)
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Better to use the stable API, and then you don't need to hack with the scale thing either

Suggested change
res = 1 / Gamma.icdf(value=1 - value, alpha=alpha, scale=1 / beta)
res = 1 / icdf(Gamma.dist(alpha=alhpa, beta=beta), value=1 - value)

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@ricardoV94 ricardoV94 Sep 30, 2025 •
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For curiosity only, any intuition why the icdf looks like it does, specially the flipped value. It's interesting

res = check_icdf_value(res, value)
return check_icdf_parameters(
res,
alpha > 0,
beta > 0,
msg="alpha > 0, beta > 0",
)


class ChiSquared:
r"""
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7 changes: 7 additions & 0 deletions tests/distributions/test_continuous.py
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Original file line number Diff line number Diff line change
Expand Up @@ -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,
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