Add SymmetricMvLaplace distribution
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Codecov Report✅ All modified and coverable lines are covered by tests. Additional details and impacted files@@ Coverage Diff @@
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As per title, I needed a multivariate Laplace distribution in some applications,
Distributions.jldidn't seem to have it, so here is one of its versions (of the few possible). This PR follows the mathematical description provided here. A lot of the code is based onMvNormalimplementation because externally they have lots of similarities.Stuff done/to do (trying to follow the requirements outlined in the docs:
lengthsampler- it wasn't immediately obvious to me that a more efficient sampler for batches exists, so I didn't implement one. If I am missing something, please let me know and I'll try to implement it.eltypeDistributions._rand!Distributions._logpdfmeanvarcovinvcovFeedback welcome!