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PolyaGammaSamplers

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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

  1. 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.