Add generalized normal distribution

[shifdz]

Is it possible to use distributions from scipy stat or tensorflow probability in PYMC3? I need to use generalized normal distribution, but it is not avialable in PYMC3. Any help is really appreciated.

[ricardoV94]

You cannot use scipy/tensorflow directly, you need a function defined in theano.

Looking at the density funcition it should be pretty straightforward to define your own: https://docs.scipy.org/doc/scipy/reference/generated/scipy.stats.gennorm.html

I will mark this issue as a feature request. In the meantime if you want to go ahead and add your own distribution for your project I suggest you open an topic in our discourse: https://discourse.pymc.io/

Someone will probably help you out there

[shifdz]

I am new to programming and haven't worked in Theano, so I am not sure how to define a new distribution. Can someone please help me with implementing it? I opened a topic on Discourse, but didn't get any response.

[twiecki]

@shifdz There is a guide here: #4686 (comment)

[shifdz]

@twiecki Will the generalized normal distribution be added in pymc3 any time soon?

[twiecki]

@shifdz Whenever someone creates a pull request :) It's not that hard and we're happy to help if you want to give it a go.