paul-buerkner/brms

Multivariate asymmetric Laplace Distribution

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#728 opened on Aug 9, 2019

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Description

Hi,

It would be great if you incorporated multivariate version of asymmetric Laplace distribution in brms. Here is the paper that describes its properties: http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.496.9720&rep=rep1&type=pdf . I am also attaching wikipedia article about it: https://en.wikipedia.org/wiki/Multivariate_Laplace_distribution . (This one has same authors as the reference papers).

Contributor guide

Tech stack
None
Domain
datamachine learning
Issue type
feature
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
5
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
over 1 week
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
stale
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
clear
Prerequisites
R package developmentStan probabilistic programming languageBayesian statisticsmultivariate distribution theory
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
10
Research direction
The issue requests adding a multivariate asymmetric Laplace distribution to the brms package. Implementation would require studying the referenced paper (citeseerx.ist.psu.edu) and Wikipedia article, then writing Stan code for the distribution's log density and random number generation, and integrating it into brms' R interface. Existing similar distributions in brms (e.g., in 'stan/...' files) can serve as templates. No linked PRs or recent comments indicate progress, so this is a clean slate for a contributor.