Implement Asymmetric Laplace Distribution #2312

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1. bob-carpenter commented on May 22, 2017

   

   bob-carpenter

   on May 22, 2017

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   Thanks for the issue with definition. This should be relatively easy. You can, of course, just code it in Stan now as

   real skew_double_exponential_lpdf(real y, real mu, real sigma, real tau) {
     return log(tau) + log1m(tau)
       - log(sigma)
       - 2 * ((y < mu) ? (1 - tau) * (mu - y) : tau * (y - mu)) / sigma;
   }
   

   It's not vectorized and doesn't drop constants (if tau is constant you can drop the first two terms and if sigma is constant you can drop the third, but it should work.

   And fair warning: this distribution may cause problems in the region around y == mu because the derivative's not continuous there.
2. bob-carpenter

   added

   good first issue

   new function

   on May 22, 2017
3. bob-carpenter

   added this to the Future milestone on May 22, 2017
4. bgoodri commented on May 22, 2017

   

   bgoodri

   on May 22, 2017 via email

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   It is fairly straightforward to do quantile regression when the asymmetric Laplace distribution is represented as a scale mixture of normals, which is differentiable everywhere. But due to the discontinuity, I don't think it is a big priority to add the _lpdf, etc. to Stan Math and the Stan language.

   …

   On Mon, May 22, 2017 at 12:22 PM, Bob Carpenter ***@***.***> wrote: Thanks for the issue with definition. This should be relatively easy. You can, of course, just code it in Stan now as real skew_double_exponential_lpdf(real y, real mu, real sigma, real tau) { return log(tau) + log1m(tau) - log(sigma) - 2 * ((y < mu) ? (1 - tau) * (mu - y) : tau * (y - mu)) / sigma; } It's not vectorized and doesn't drop constants (if tau is constant you can drop the first two terms and if sigma is constant you can drop the third, but it should work. And fair warning: this distribution may cause problems in the region around y == mu because the derivative's not continuous there. — You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub <#2312 (comment)>, or mute the thread <https://github.com/notifications/unsubscribe-auth/ADOrqhQdA1ZqwsnQrHYRwsRmXtLTbqAIks5r8bZHgaJpZM4NhzRp> .
5. dirmeier commented on Jul 6, 2020

   

   dirmeier

   on Jul 6, 2020

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   Hey @bob-carpenter and @bgoodri , would you mind if I had a look at this and implement it in math? Like I said in another thread, I'd like to help out more with Stan, but have trouble identifying "what needs to be done", so I guess just fixing issues would be a good start (if that is fine with you).

   Cheers,
   Simon

   👍React with 👍1Reacted by Steve Bronder
6. bgoodri commented on Jul 6, 2020

   

   bgoodri

   on Jul 6, 2020 via email

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   I don't think anyone ever has grounds to mind if someone else wants to implement something in Math.

   …

   On Mon, Jul 6, 2020 at 12:45 PM Simon Dirmeier ***@***.***> wrote: Hey @bob-carpenter <https://github.com/bob-carpenter> and @bgoodri <https://github.com/bgoodri> , would you mind if I had a look at this and implement it in math? Like I said in another thread, I'd like to help out more with Stan, but have trouble identifying "what needs to be done", so I guess just fixing issues would be a good start (if that is fine with you). Cheers, Simon — You are receiving this because you were mentioned. Reply to this email directly, view it on GitHub <#2312 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AAZ2XKTCDQVTCTQJ5EYAKWLR2H5S7ANCNFSM4DMHGRUQ> .
7. bob-carpenter commented on Jul 7, 2020

   

   bob-carpenter

   on Jul 7, 2020

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   By all means. It's open source and we love getting new contributors. Let us know if you need help. Our onboarding docs are still something of a mess.

   I would suggest going to the issue (in stan-dev/math, not in the monorepo project that never got finished) and commenting that you're working on an implementation. If there's not an issue, creating one is the first step.

   Basically, anything that has an issue is something we want to implement. The problem is that they're not prioritized or sorted for dependency. That's largely because what to work on is a matter of individual developer priorities and what they're interested in doing. Is there something you'd like to add to Stan, either on the issue tracker or not?
8. dirmeier commented on Jul 8, 2020

   

   dirmeier

   on Jul 8, 2020

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   Hi @bob-carpenter

   I would suggest going to the issue (in stan-dev/math, not in the monorepo project that never got finished) and commenting that you're working on an implementation. If there's not an issue, creating one is the first step.

   thanks! Will do.

   Is there something you'd like to add to Stan, either on the issue tracker or not?

   No, not really. I just want to help out right now until I understand math and stan better...
9. SteveBronder commented on Mar 24, 2026

   

   SteveBronder

   on Mar 24, 2026

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   Closed in stan-dev/math#2271
10. SteveBronder

    closed this as completedon Mar 24, 2026