This is a collection of some probability distributions I find useful, primarily for Bayesian estimation. Eventually, they should be considered for contributing to Distributions.jl, but currently they reside in this package because
- I am experimenting with the interface,
- I am experimenting with the implementation (making it friendly to automatic differentiation),
- not all functionality is implemented (eg only the
logpdf).
When the name of distributions coincides with one in Distributions, it is prefixed with Alt, eg AltMvNormal.
- Lewandowski, Daniel, Dorota Kurowicka, and Harry Joe. "Generating random correlation matrices based on vines and extended onion method." Journal of multivariate analysis 100.9 (2009): 1989–2001.