transformdistribution.jl

#################### TransformDistribution ####################

const TransformDistribution{T<:ContinuousUnivariateDistribution} =
  Union{T, Truncated{T}}

function link(d::TransformDistribution, x::Real)
  a, b = minimum(d), maximum(d)
  lowerbounded, upperbounded = isfinite(a), isfinite(b)
  if lowerbounded && upperbounded
    logit((x - a) / (b - a))
  elseif lowerbounded
    log(x - a)
  elseif upperbounded
    log(b - x)
  else
    x
  end
end

function invlink(d::TransformDistribution, x::Real)
  a, b = minimum(d), maximum(d)
  lowerbounded, upperbounded = isfinite(a), isfinite(b)
  if lowerbounded && upperbounded
    (b - a) * invlogit(x) + a
  elseif lowerbounded
    exp(x) + a
  elseif upperbounded
    b - exp(x)
  else
    x
  end
end

function logpdf(d::TransformDistribution, x::Real, transform::Bool)
  lp = logpdf(d, x)
  if transform
    a, b = minimum(d), maximum(d)
    lowerbounded, upperbounded = isfinite(a), isfinite(b)
    if lowerbounded && upperbounded
      lp += log((x - a) * (b - x) / (b - a))
    elseif lowerbounded
      lp += log(x - a)
    elseif upperbounded
      lp += log(b - x)
    end
  end
  lp
end


#################### RealDistribution ####################

const RealDistribution =
          Union{Cauchy, Gumbel, Laplace, Logistic, NoncentralT, Normal,
                NormalCanon, TDist}

link(d::RealDistribution, x::Real) = x

invlink(d::RealDistribution, x::Real) = x

logpdf(d::RealDistribution, x::Real, transform::Bool) = logpdf(d, x)


#################### PositiveDistribution ####################

const PositiveDistribution =
          Union{BetaPrime, Chi, Chisq, Erlang, Exponential, FDist, Frechet,
                Gamma, InverseGamma, InverseGaussian, Kolmogorov, LogNormal,
                NoncentralChisq, NoncentralF, Rayleigh, Weibull}

link(d::PositiveDistribution, x::Real) = log(x)

invlink(d::PositiveDistribution, x::Real) = exp(x)

function  logpdf(d::PositiveDistribution, x::Real, transform::Bool)
  lp = logpdf(d, x)
  transform ? lp + log(x) : lp
end


#################### UnitDistribution ####################

const UnitDistribution =
          Union{Beta, KSOneSided, NoncentralBeta}

link(d::UnitDistribution, x::Real) = logit(x)

invlink(d::UnitDistribution, x::Real) = invlogit(x)

function logpdf(d::UnitDistribution, x::Real, transform::Bool)
  lp = logpdf(d, x)
  transform ? lp + log(x * (1.0 - x)) : lp
end