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implement invgamma icdf + test #7619

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implement invgamma icdf + test #7619

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8d70551
implement invgamma icdf + test
berkalpay Dec 19, 2024
1a2c6e8
[pre-commit.ci] auto fixes from pre-commit.com hooks
pre-commit-ci[bot] Dec 20, 2024
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12 changes: 11 additions & 1 deletion pymc/distributions/continuous.py
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Original file line number Diff line number Diff line change
Expand Up @@ -29,7 +29,7 @@
from pytensor.tensor import gammaln, get_underlying_scalar_constant_value
from pytensor.tensor.exceptions import NotScalarConstantError
from pytensor.tensor.extra_ops import broadcast_shape
from pytensor.tensor.math import betaincinv, gammaincinv, tanh
from pytensor.tensor.math import betaincinv, gammainccinv, gammaincinv, tanh
from pytensor.tensor.random.basic import (
BetaRV,
_gamma,
Expand Down Expand Up @@ -2541,6 +2541,16 @@ def logcdf(value, alpha, beta):
msg="alpha > 0, beta > 0",
)

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


class ChiSquared:
r"""
Expand Down
7 changes: 7 additions & 0 deletions tests/distributions/test_continuous.py
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Original file line number Diff line number Diff line change
Expand Up @@ -675,6 +675,13 @@ def test_inverse_gamma_logp(self):
lambda value, alpha, beta: st.invgamma.logpdf(value, alpha, scale=beta),
)

def test_inverse_gamma_icdf(self):
check_icdf(
pm.InverseGamma,
{"alpha": Rplusbig, "beta": Rplusbig},
lambda q, alpha, beta: st.invgamma.ppf(q, alpha, scale=beta),
)

@pytest.mark.skipif(
condition=(pytensor.config.floatX == "float32"),
reason="Fails on float32 due to numerical issues",
Expand Down
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