WIP [ENH] Multivariate distribution framework support #621
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fkiraly
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module:probability&simulation
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@joshdunnlime, I turned this branch into a PR for discussion - your opinions would be appreciated. |
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FYI, I opened an issue to collect API discussion for multivariate distributions here: |
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WIP PR to discuss how to support multivariate distributions.
Currently contains one additional method
pdfjwhich would explain how we distinguish the current variable-marginalpdf, and the jointpdf.The default for
pdfjwould be the row-wise product of thepdfoutput, but can be overridden for multivariate distributions.Questions about API:
log_pdfj,cdfjetc - it feels a bit duplicative.marginalto all the methods, and it could be"entry"(default and current behaviour),"row", or"none"?