Wrapped transformations

abstract type TransformationWrapper <: Function

Wrap a transformation to achieve some specialized functionality.

Supports length, get_transformation, and other methods depending on the subtype.

TransformLogLikelihood(ℓ, transformation::Union{Tuple, GroupedTransformation})

TransformLogLikelihood(ℓ, transformations...)

Return a callable that

1. transforms its vector argument using a grouped transformation to a set of values,

2. calls ℓ (which should return a scalar) with this tuple.

3. returns the result above corrected by the log Jacobians.

Useful when ℓ is a log-likelihood function with a restricted domain, and transformations is used to trasform to this domain from $ℝ^n$.

See also get_transformation, get_distribution, Distributions.logpdf, and logpdf_in_domain.

get_loglikelihood(t)

Return the log likelihood function.

TransformDistribution(distribution, transformation)

Given a transformation and a distribution, create a transformed distribution object that has the distribution of transformation(x) with x ∼ distribution.

The transformation object is callable with the same syntax as transformation. It also supports methods rand, length.

See also logpdf_in_domain and logpdf_in_image.

get_distribution(t)

Return the wrapped distribution.

logpdf_in_domain(t, x)

The log pdf for a transformed distribution at t(x) in image, calculated in the domain without performing the transformation.

The log pdf is adjusted with the log determinant of the Jacobian, ie the following holds:

julia logpdf_in_image(t, t(x)) == logpdf_in_domain(t, x)

See logpdf_in_image.

logpdf_in_image(t, y)

The log pdf for a transformed distribution at y in image.

See also logpdf_in_domain.