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Add icdf functions for Beta, Gamma, Chisquared and StudentT distributions #6845

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Mar 25, 2024
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Add icdf functions for Beta, Gamma, Chisquared and StudentT distributions #6845

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bdd9a65
Add icdf functions for Beta, Gamma, Chisquared and Students distribut…
amyoshino Aug 4, 2023
00c1f34
fixing check_parameters occurences in icdf functions, replacing with …
amyoshino Jan 9, 2024
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51 changes: 43 additions & 8 deletions pymc/distributions/continuous.py
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Original file line number Diff line number Diff line change
Expand Up @@ -33,7 +33,7 @@
from pytensor.raise_op import Assert
from pytensor.tensor import gammaln
from pytensor.tensor.extra_ops import broadcast_shape
from pytensor.tensor.math import tanh
from pytensor.tensor.math import betaincinv, gammaincinv, tanh
from pytensor.tensor.random.basic import (
BetaRV,
_gamma,
Expand Down Expand Up @@ -1227,6 +1227,16 @@ def logcdf(value, alpha, beta):
msg="alpha > 0, beta > 0",
)

def icdf(value, alpha, beta):
res = betaincinv(alpha, beta, value)
res = check_icdf_value(res, value)
return check_icdf_parameters(
res,
alpha > 0,
beta > 0,
msg="alpha > 0, beta > 0",
)


class KumaraswamyRV(RandomVariable):
name = "kumaraswamy"
Expand Down Expand Up @@ -1872,6 +1882,21 @@ def logcdf(value, nu, mu, sigma):
msg="nu > 0, sigma > 0",
)

def icdf(value, nu, mu, sigma):
res = pt.switch(
pt.lt(value, 0.5),
-pt.sqrt(nu) * pt.sqrt((1.0 / betaincinv(nu * 0.5, 0.5, 2.0 * value)) - 1.0),
pt.sqrt(nu) * pt.sqrt((1.0 / betaincinv(nu * 0.5, 0.5, 2.0 * (1 - value))) - 1.0),
)
res = mu + res * sigma
res = check_icdf_value(res, value)
return check_icdf_parameters(
res,
nu > 0,
sigma > 0,
msg="nu > 0, sigma > 0",
)


class Pareto(BoundedContinuous):
r"""
Expand Down Expand Up @@ -2063,7 +2088,7 @@ def logcdf(value, alpha, beta):
def icdf(value, alpha, beta):
res = alpha + beta * pt.tan(np.pi * (value - 0.5))
res = check_icdf_value(res, value)
return check_parameters(
return check_icdf_parameters(
res,
beta > 0,
msg="beta > 0",
Expand Down Expand Up @@ -2147,7 +2172,7 @@ def logcdf(value, loc, beta):
def icdf(value, loc, beta):
res = loc + beta * pt.tan(np.pi * (value) / 2.0)
res = check_icdf_value(res, value)
return check_parameters(
return check_icdf_parameters(
res,
beta > 0,
msg="beta > 0",
Expand Down Expand Up @@ -2272,6 +2297,16 @@ def logcdf(value, alpha, scale):
)
return check_parameters(res, 0 < alpha, 0 < beta, msg="alpha > 0, beta > 0")

def icdf(value, alpha, scale):
res = scale * gammaincinv(alpha, value)
res = check_icdf_value(res, value)
return check_icdf_parameters(
res,
alpha > 0,
scale > 0,
msg="alpha > 0, beta > 0",
)


class InverseGamma(PositiveContinuous):
r"""
Expand Down Expand Up @@ -2556,7 +2591,7 @@ def logp(value, alpha, beta):
def icdf(value, alpha, beta):
res = beta * (-pt.log(1 - value)) ** (1 / alpha)
res = check_icdf_value(res, value)
return check_parameters(
return check_icdf_parameters(
res,
alpha > 0,
beta > 0,
Expand Down Expand Up @@ -3116,7 +3151,7 @@ def icdf(value, lower, c, upper):
upper - np.sqrt((upper - lower) * (upper - c) * (1 - value)),
)
res = check_icdf_value(res, value)
return check_parameters(
return check_icdf_parameters(
res,
lower <= c,
c <= upper,
Expand Down Expand Up @@ -3219,7 +3254,7 @@ def logcdf(value, mu, beta):
def icdf(value, mu, beta):
res = mu - beta * pt.log(-pt.log(value))
res = check_icdf_value(res, value)
return check_parameters(
return check_icdf_parameters(
res,
beta > 0,
msg="beta > 0",
Expand Down Expand Up @@ -3437,7 +3472,7 @@ def logcdf(value, mu, s):
def icdf(value, mu, s):
res = mu + s * pt.log(value / (1 - value))
res = check_icdf_value(res, value)
return check_parameters(
return check_icdf_parameters(
res,
s > 0,
msg="s > 0",
Expand Down Expand Up @@ -3787,7 +3822,7 @@ def logcdf(value, mu, sigma):
def icdf(value, mu, sigma):
res = sigma * -pt.log(2.0 * pt.erfcinv(value) ** 2) + mu
res = check_icdf_value(res, value)
return check_parameters(
return check_icdf_parameters(
res,
sigma > 0,
msg="sigma > 0",
Expand Down
21 changes: 21 additions & 0 deletions tests/distributions/test_continuous.py
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Original file line number Diff line number Diff line change
Expand Up @@ -411,6 +411,13 @@ def test_beta_logcdf(self):
lambda value, alpha, beta: st.beta.logcdf(value, alpha, beta),
)

def test_beta_icdf(self):
check_icdf(
pm.Beta,
{"alpha": Rplus, "beta": Rplus},
lambda q, alpha, beta: st.beta.ppf(q, alpha, beta),
)

def test_kumaraswamy(self):
# Scipy does not have a built-in Kumaraswamy
def scipy_log_pdf(value, a, b):
Expand Down Expand Up @@ -557,6 +564,13 @@ def test_studentt_logcdf(self):
lambda value, nu, mu, sigma: st.t.logcdf(value, nu, mu, sigma),
)

def test_studentt_icdf(self):
check_icdf(
pm.StudentT,
{"nu": Rplusbig, "mu": R, "sigma": Rplusbig},
lambda q, nu, mu, sigma: st.t.ppf(q, nu, mu, sigma),
)

def test_cauchy(self):
check_logp(
pm.Cauchy,
Expand Down Expand Up @@ -623,6 +637,13 @@ def test_gamma_logcdf(self):
lambda value, alpha, beta: st.gamma.logcdf(value, alpha, scale=1.0 / beta),
)

def test_gamma_icdf(self):
check_icdf(
pm.Gamma,
{"alpha": Rplusbig, "beta": Rplusbig},
lambda q, alpha, beta: st.gamma.ppf(q, alpha, scale=1.0 / beta),
)

def test_inverse_gamma_logp(self):
check_logp(
pm.InverseGamma,
Expand Down
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