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Fix MvStudentT.random #4359

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Dec 20, 2020
Merged

Fix MvStudentT.random #4359

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6025a0a
Fix MvStudentT.random
Sayam753 Dec 20, 2020
49cbff6
Given a mention in release notes
Sayam753 Dec 20, 2020
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1 change: 1 addition & 0 deletions RELEASE-NOTES.md
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Original file line number Diff line number Diff line change
Expand Up @@ -14,6 +14,7 @@ This is the first release to support Python3.9 and to drop Python3.6.
- In `sample_posterior_predictive` the `vars` kwarg was removed in favor of `var_names` (see [#4343](https://github.com/pymc-devs/pymc3/pull/4343)).
- The notebook gallery has been moved to https://github.com/pymc-devs/pymc-examples (see [#4348](https://github.com/pymc-devs/pymc3/pull/4348)).
- `math.logsumexp` now matches `scipy.special.logsumexp` when arrays contain infinite values (see [#4360](https://github.com/pymc-devs/pymc3/pull/4360)).
- Fixed mathematical formulation in `MvStudentT` random method. (see [#4359](https://github.com/pymc-devs/pymc3/pull/4359))

## PyMC3 3.10.0 (7 December 2020)

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10 changes: 6 additions & 4 deletions pymc3/distributions/multivariate.py
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Expand Up @@ -324,10 +324,10 @@ class MvStudentT(_QuadFormBase):
1+\frac{1}{\nu}
({\mathbf x}-{\mu})^T
{\Sigma}^{-1}({\mathbf x}-{\mu})
\right]^{(\nu+p)/2}}
\right]^{-(\nu+p)/2}}

======== =============================================
Support :math:`x \in \mathbb{R}^k`
Support :math:`x \in \mathbb{R}^p`
Mean :math:`\mu` if :math:`\nu > 1` else undefined
Variance :math:`\frac{\nu}{\mu-2}\Sigma`
if :math:`\nu>2` else undefined
Expand Down Expand Up @@ -393,8 +393,10 @@ def random(self, point=None, size=None):

samples = dist.random(point, size)

chi2 = np.random.chisquare
return (np.sqrt(nu) * samples.T / chi2(nu, size)).T + mu
chi2_samples = np.random.chisquare(nu, size)
# Add distribution shape to chi2 samples
chi2_samples = chi2_samples.reshape(chi2_samples.shape + (1,) * len(self.shape))
return (samples / np.sqrt(chi2_samples / nu)) + mu

def logp(self, value):
"""
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6 changes: 3 additions & 3 deletions pymc3/tests/test_distributions_random.py
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Expand Up @@ -947,9 +947,9 @@ def ref_rand_evd(size, mu, evds, sigma):

def test_mv_t(self):
def ref_rand(size, nu, Sigma, mu):
normal = st.multivariate_normal.rvs(cov=Sigma, size=size).T
chi2 = st.chi2.rvs(df=nu, size=size)
return mu + np.sqrt(nu) * (normal / chi2).T
normal = st.multivariate_normal.rvs(cov=Sigma, size=size)
chi2 = st.chi2.rvs(df=nu, size=size)[..., None]
return mu + (normal / np.sqrt(chi2 / nu))

for n in [2, 3]:
pymc3_random(
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