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Implement ICDF for Laplace and Pareto distributions #6707

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Merged
merged 2 commits into from
May 11, 2023
Merged

Implement ICDF for Laplace and Pareto distributions #6707

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09215c2
Add ICDF function to laplace distribution
james-2001 May 6, 2023
9abe6fb
Add ICDF function to pareto distribution
james-2001 May 6, 2023
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17 changes: 17 additions & 0 deletions pymc/distributions/continuous.py
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Original file line number Diff line number Diff line change
Expand Up @@ -1480,6 +1480,13 @@ def logcdf(value, mu, b):
msg="b > 0",
)

def icdf(value, mu, b):
res = pt.switch(
pt.le(value, 0.5), mu + b * np.log(2 * value), mu - b * np.log(2 - 2 * value)
)
res = check_icdf_value(res, value)
return check_icdf_parameters(res, b > 0, msg="b > 0")


class AsymmetricLaplaceRV(RandomVariable):
name = "asymmetriclaplace"
Expand Down Expand Up @@ -1930,6 +1937,16 @@ def logcdf(value, alpha, m):
msg="alpha > 0, m > 0",
)

def icdf(value, alpha, m):
res = m * pt.pow(1 - value, -1 / alpha)
res = check_icdf_value(res, value)
return check_icdf_parameters(
res,
alpha > 0,
m > 0,
msg="alpha > 0, m > 0",
)


@_default_transform.register(Pareto)
def pareto_default_transform(op, rv):
Expand Down
6 changes: 6 additions & 0 deletions tests/distributions/test_continuous.py
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Original file line number Diff line number Diff line change
Expand Up @@ -457,6 +457,7 @@ def test_laplace(self):
{"mu": R, "b": Rplus},
lambda value, mu, b: st.laplace.logcdf(value, mu, b),
)
check_icdf(pm.Laplace, {"mu": R, "b": Rplus}, lambda q, mu, b: st.laplace.ppf(q, mu, b))

def test_laplace_asymmetric(self):
check_logp(
Expand Down Expand Up @@ -633,6 +634,11 @@ def test_pareto(self):
{"alpha": Rplusbig, "m": Rplusbig},
lambda value, alpha, m: st.pareto.logcdf(value, alpha, scale=m),
)
check_icdf(
pm.Pareto,
{"alpha": Rplusbig, "m": Rplusbig},
lambda q, alpha, m: st.pareto.ppf(q, alpha, scale=m),
)

@pytest.mark.skipif(
condition=(pytensor.config.floatX == "float32"),
Expand Down