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Implement log CDF for Gamma distribution #3356

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Merged
merged 1 commit into from
Jan 24, 2019
Merged

Implement log CDF for Gamma distribution #3356

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12 changes: 12 additions & 0 deletions pymc3/distributions/continuous.py
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Original file line number Diff line number Diff line change
Expand Up @@ -2369,6 +2369,18 @@ def logp(self, value):
alpha > 0,
beta > 0)

def logcdf(self, value):
"""
Compute the log CDF for the Gamma distribution
"""
alpha = self.alpha
beta = self.beta
return bound(
tt.log(tt.gammainc(alpha, beta * value)),
value >= 0,
alpha > 0,
beta > 0)

def _repr_latex_(self, name=None, dist=None):
if dist is None:
dist = self
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4 changes: 4 additions & 0 deletions pymc3/tests/test_distributions.py
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Expand Up @@ -692,6 +692,10 @@ def test_fun(value, mu, sigma):
self.pymc3_matches_scipy(
Gamma, Rplus, {'mu': Rplusbig, 'sigma': Rplusbig}, test_fun)

self.check_logcdf(
Gamma, Rplus, {'alpha': Rplusbig, 'beta': Rplusbig},
lambda value, alpha, beta: sp.gamma.logcdf(value, alpha, scale=1.0/beta))

def test_inverse_gamma(self):
self.pymc3_matches_scipy(
InverseGamma, Rplus, {'alpha': Rplus, 'beta': Rplus},
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