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Add Wishart distribution.#1779

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fehiepsi merged 11 commits intopyro-ppl:masterpyro-ppl/numpyro:masterfrom tillahoffmann:wisharttillahoffmann/numpyro:wishartCopy head branch name to clipboardMay 13, 2024

+466-51

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Commits on May 13, 2024

• Add Wishart distribution.

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• Reduce dimensionality for bijection tests of positive definite matrices.

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• Add WishartCholesky distribution and use it as base for Wishart.

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• Promote instead of broadcast Wishart parameters.

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• Assert exactly one of parameters is specified and update shape inference.

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• Implement infer_shapes for Wishart and WishartCholesky.

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• Add entropy for Wishart distribution.

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• Add sampled entropy test for distribution without scipy equivalent.

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• Simplify logabsdet evaluation of scale_tril.

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• Remove default None argument for concentration of Wishart distribution.

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• Add tri_logabsdet utility function.

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