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Implement a SkewLogistic distribution #2874

Merged
merged 1 commit into from
Jun 17, 2021
Merged

Implement a SkewLogistic distribution #2874

merged 1 commit into from
Jun 17, 2021

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fritzo
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@fritzo fritzo commented Jun 16, 2021

Addresses #2868

This is another smooth asymmetric distribution with asymptotically exponential tails addressing #2868 but hopefully more numerically stable than SoftAsymmetricLaplace #2872 which is waiting on torch.special.logerfc() pytorch/pytorch#31945.

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Tested

  • added to conftest (thank goodness for gof tests!)
  • confirmed numerical stability in a large real-world model

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LGTM! The implementation shows that this is like a logistic distribution, only different in that the base distribution is not Uniform(0, 1), but Uniform(0, 1)^(1/assymetry), which implies the skewness.

@fehiepsi fehiepsi merged commit 373d348 into dev Jun 17, 2021
@fritzo fritzo deleted the skew-logistic branch September 27, 2021 14:46
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2 participants