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[add] Implementation of the Beta Negative Binomial Distribution #2031

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@ShozenD ShozenD commented May 20, 2025

Implementation proposal for [Issue #2030].
So far all unit tests are passing (including documentation tests).

I have not implemented the CDF (also not available in the most recent version of scipy).
Stan does seem to provide a CDF implementation.
Does anyone know what is the best way to do this?

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Thanks @ShozenD! I think we can address cdf icdf later if needed.

Could you add an entry for this distribution in https://github.com/pyro-ppl/numpyro/blob/master/docs/source/distributions.rst ?

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Hi @ShozenD, could you merge with master and add the distribution to the doc index?

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