tensorflow / tensorflow/probability

Piecewise distribution

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Description

How can I write a piecewise distribution?

I want a distribution that consists of 3 distributions, each defined on it's range:

    { Gamma(a-, b-)(-x), when x < 0
y = { 0, when x = 0
    { Gamma(a+, b+)(x), when x > 0

It looks like a mixture of a Deterministic and a two-piece distribution, similar to TwoPieceNormal or TwoPieceStudentT, but with 2 Gamma functions.

Is it possible to define a piecewise distribution similar way to defining a Mixture?
Or is is possible to build it by writing a transformation of some existing "TwoPiece" distribution?

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First steps

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Research direction

Start by reviewing the linked Deterministic, TwoPieceNormal, TwoPieceStudentT, Gamma, and Mixture documentation. Determine whether the requested three-part distribution can be represented by existing distribution or transformation APIs; done would be a clear supported approach or an identified need for a new distribution capability.

Written by the indexing model from the issue text.

Assessment

Tech stack
tensorflow
Domain
machine-learning
Issue type
Feature
Difficulty
5/5
Estimated time
Over a week
Activity status
Stale
Clarity
Needs clarification
Newbie friendliness
25/100

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