SDE distribution
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Description
Hi,
Looking at the original post for the SDE distribution, https://github.com/stan-dev/stan/issues/2312, there is a "2" in the PDF which is not in the PDF from the original paper that is referenced on that page: Yu, K., Moyeed, R.A., 2001. Bayesian quantile regression. Statistics & Probability Letters 54, 437–447. doi:10.1016/S0167-7152(01)00124-9
Can the SDE functionality be implemented using the PDF in the paper?
There are other implementations of the Yu, Moyeed PDF and they do not have the "2".
See here: https://www.jstatsoft.org/article/view/v076i07
and here: https://support.sas.com/rnd/app/stat/examples/BayesQuantile/quantile.pdf
Thank you!
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
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Research direction
The issue concerns the SDE functionality in Stan Math but names no source file or test. Start by locating that functionality and comparing its implemented probability density with the Yu–Moyeed paper and the linked references. Done means determining whether the extra factor is incorrect and adding or updating validation for the corrected distribution.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- cpp
- Domain
- data
- Issue type
- Bug
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 25/100