Prim test

Author: andrjohns

stan/math/prim/prob/gaussian_copula_cholesky_lpdf.hpp

@@ -125,15 +125,15 @@ T_return gaussian_copula_cholesky_lpdf(
   for (size_t i = 1; i < size_mvt_lcdf_tuple; i++) {
     check_size_match(function,
                      "Size of one of the vectors of "
-                     "the CDF functor tuple",
+                     "the LCDF functor tuple",
                      math::size(lcdf_tuple_vec[i]),
                      "Size of the first vector of the "
                      "location variable",
                      size_lcdf_tuple);
   }
 
   check_size_match(function, "Size of random variable", size_y,
-                   "size of CDF functor tuple", size_lcdf_tuple);
+                   "size of LCDF functor tuple", size_lcdf_tuple);
   check_size_match(function, "Size of random variable", size_y,
                    "rows of covariance parameter", chol.rows());
   check_size_match(function, "Size of random variable", size_y,
@@ -149,7 +149,7 @@ T_return gaussian_copula_cholesky_lpdf(
   T_return lp(0);
   for (size_t i = 0; i < size_vec; i++) {
     const auto& u = internal::apply_lcdfs(y_vec[i], lcdf_tuple_vec[i]);
-    check_bounded(function, "CDF-transformed inputs", u, NEGATIVE_INFTY, 0);
+    check_bounded(function, "LCDF-transformed inputs", u, NEGATIVE_INFTY, 0);
     q[i] = to_vector(std_normal_log_qf(u));
     lp -= std_normal_lpdf<propto>(q[i]);
   }

test/unit/math/prim/prob/gaussian_copula_cholesky_lpdf_test.cpp

@@ -0,0 +1,123 @@
+#include <stan/math/prim.hpp>
+#include <gtest/gtest.h>
+
+TEST(ProbDistributionsGaussianCopulaCholesky, EqualsMultiNormalCholesky) {
+  using stan::math::gaussian_copula_cholesky_lpdf;
+  using stan::math::multi_normal_cholesky_lpdf;
+  using stan::math::diag_pre_multiply;
+
+  Eigen::VectorXd y(2);
+  y << 1, 3;
+
+  Eigen::VectorXd mu(2);
+  mu << 0.1, 0;
+
+  Eigen::VectorXd sd(2);
+  sd << 2, 1;
+
+  Eigen::MatrixXd chol(2, 2);
+  chol << 1, 0, 0.5, 0.8660254037844386;
+
+  auto norm_lcdf = [](auto&& y, auto&& mu, auto&& sigma) {
+    return stan::math::normal_lcdf(y, mu, sigma);
+  };
+
+  auto std_norm_lcdf = [](auto&& y) {
+    return stan::math::std_normal_lcdf(y);
+  };
+
+  // y[0] ~ normal(0.1, 2)
+  // y[1] ~ normal(0, 1)
+  auto lcdf_functors = std::make_tuple(
+    std::make_tuple(norm_lcdf, mu[0], sd[0]),
+    std::make_tuple(std_norm_lcdf)
+  );
+
+  double log_prob =
+    stan::math::normal_lpdf(y[0], 0.1, 2) +
+    stan::math::std_normal_lpdf(y[1]) +
+    gaussian_copula_cholesky_lpdf(y, lcdf_functors, chol);
+
+
+  double expected_log_prob = multi_normal_cholesky_lpdf(
+    y, mu, diag_pre_multiply(sd, chol));
+
+  EXPECT_FLOAT_EQ(log_prob, expected_log_prob);
+}
+
+TEST(ProbDistributionsGaussianCopulaCholesky, NonNormalMarginals) {
+  Eigen::VectorXd y(2);
+  y << 10, 6;
+
+  Eigen::MatrixXd chol(2, 2);
+  chol << 1, 0, 0.2, 0.9797958971;
+
+  auto gamma_lcdf = [](auto&& y, auto&& shape, auto&& scale) {
+    return stan::math::gamma_lcdf(y, shape, scale);
+  };
+
+  auto exp_lcdf = [](auto&& y, auto&& scale) {
+    return stan::math::exponential_lcdf(y, scale);
+  };
+
+  // y[0] ~ gamma(2, 1)
+  // y[1] ~ exponential(2)
+  auto lcdf_functors = std::make_tuple(
+    std::make_tuple(gamma_lcdf, 2.0, 1.0),
+    std::make_tuple(exp_lcdf, 2.0)
+  );
+
+  double log_prob =
+    stan::math::gamma_lpdf(y[0], 2.0, 1.0) +
+    stan::math::exponential_lpdf(y[1], 2.0) +
+    stan::math::gaussian_copula_cholesky_lpdf(y, lcdf_functors, chol);
+
+  EXPECT_FLOAT_EQ(log_prob, -16.61005941);
+}
+
+TEST(ProbDistributionsGaussianCopulaCholesky, Errors) {
+  Eigen::VectorXd y(2);
+  y << 10, 6;
+
+  Eigen::VectorXd small_y(1);
+  small_y << 10;
+
+  Eigen::MatrixXd chol(2, 2);
+  chol << 1, 0, 0.2, 0.9797958971;
+
+  auto gamma_lcdf = [](auto&& y, auto&& shape, auto&& scale) {
+    return stan::math::gamma_lcdf(y, shape, scale);
+  };
+  auto exp_lcdf = [](auto&& y, auto&& scale) {
+    return stan::math::exponential_lcdf(y, scale);
+  };
+
+  auto lcdf_functors = std::make_tuple(
+    std::make_tuple(gamma_lcdf, 2.0, 1.0),
+    std::make_tuple(exp_lcdf, 2.0)
+  );
+
+  auto small_lcdf_functors = std::make_tuple(
+    std::make_tuple(gamma_lcdf, 2.0, 1.0)
+  );
+
+  auto invalid_lcdf_functors = std::make_tuple(
+    std::make_tuple(gamma_lcdf, 2.0, 1.0),
+    std::make_tuple([](auto&& y){ return y * 10; })
+  );
+
+  EXPECT_THROW(
+    stan::math::gaussian_copula_cholesky_lpdf(y, small_lcdf_functors, chol),
+    std::invalid_argument
+  );
+
+  EXPECT_THROW(
+    stan::math::gaussian_copula_cholesky_lpdf(small_y, lcdf_functors, chol),
+    std::invalid_argument
+  );
+
+  EXPECT_THROW(
+    stan::math::gaussian_copula_cholesky_lpdf(y, invalid_lcdf_functors, chol),
+    std::domain_error
+  );
+}