Add Wishart distribution.

pyro-ppl / numpyro

Probabilistic programming with NumPy powered by JAX for autograd and JIT compilation to GPU/TPU/CPU.

https://num.pyro.ai

Apache License 2.0

2.09k stars 227 forks source link

Closed tillahoffmann closed 1 month ago

tillahoffmann commented 2 months ago

This PR adds the Wishart distribution for covariance matrices. It should probably be rebased and reviewed after #1778 is merged.