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Add variate generation for Wiener First Passage Time Distribution

Open alizma opened this issue 3 years ago • 2 comments

The current implementation of the Wiener First Passage Time Distribution lacks a generation step for a variate following this distribution. This feature should be analogous to the _rng methods that other distributions have and which can only be used in generated quantities or transformed data blocks.

alizma avatar Aug 08 '22 13:08 alizma

I have written the wiener_rng function in Stan at https://discourse.mc-stan.org/t/alternative-to-wiener-rng-in-stan/28443/8?u=spinkney. It should be pretty straightforward for someone to put this into stan-math.

spinkney avatar Aug 10 '22 20:08 spinkney

And now it actually works too! https://discourse.mc-stan.org/t/alternative-to-wiener-rng-in-stan/28443/11?u=spinkney

spinkney avatar Aug 12 '22 17:08 spinkney