PolyaGammaSamplers
PolyaGammaSamplers.jl provides a method for sampling from the Polya-Gamma distribution [1], using the Distributions.jl interface. See the documentation for details.
Acknowledgments
PolyaGammaSamplers.jl is basically a Julia-1.0-compatible version of PolyaGammaDistribution.jl. The only difference is that PolyaGammaDistribution.jl defines a distribution, whereas PolyaGammaSamplers.jl defines a sampler. This means that PolyaGammaSamplers.jl concentrates on sampling (instead of implementing the density for example). The user can learn more about the difference between samplers and distributions here.
References
- Polson, N., Scott, J. & Windle, J. (2013) Bayesian inference for logistic models using Pólya–Gamma latent variables, Journal of the American Statistical Association, 108:504, 1339-1349, https://doi.org/10.1080/01621459.2013.829001.