# Create New Samplers and Distributions

Whereas this package already provides a large collection of common distributions out of box, there are still occasions where you want to create new distributions (*e.g* your application requires a special kind of distributions, or you want to contribute to this package).

Generally, you don't have to implement every API method listed in the documentation. This package provides a series of generic functions that turn a small number of internal methods into user-end API methods. What you need to do is to implement this small set of internal methods for your distributions.

By default, `Discrete`

sampleables have support of type `Int`

while `Continuous`

sampleables have support of type `Float64`

. If this assumption does not hold for your new distribution or sampler, or its `ValueSupport`

is neither `Discrete`

nor `Continuous`

, you should implement the `eltype`

method in addition to the other methods listed below.

**Note:** the methods need to be implemented are different for distributions of different variate forms.

## Create a Sampler

Unlike a full fledged distributions, a sampler, in general, only provides limited functionalities, mainly to support sampling.

### Univariate Sampler

To implement a univariate sampler, one can define a sub type (say `Spl`

) of `Sampleable{Univariate,S}`

(where `S`

can be `Discrete`

or `Continuous`

), and provide a `rand`

method, as

```
function rand(s::Spl)
# ... generate a single sample from s
end
```

The package already implements a vectorized version of `rand!`

and `rand`

that repeatedly calls the he scalar version to generate multiple samples.

### Multivariate Sampler

To implement a multivariate sampler, one can define a sub type of `Sampleable{Multivariate,S}`

, and provide both `length`

and `_rand!`

methods, as

```
Base.length(s::Spl) = ... # return the length of each sample
function _rand!(s::Spl, x::AbstractVector{T}) where T<:Real
# ... generate a single vector sample to x
end
```

This function can assume that the dimension of `x`

is correct, and doesn't need to perform dimension checking.

The package implements both `rand`

and `rand!`

as follows (which you don't need to implement in general):

```
function _rand!(s::Sampleable{Multivariate}, A::DenseMatrix)
for i = 1:size(A,2)
_rand!(s, view(A,:,i))
end
return A
end
function rand!(s::Sampleable{Multivariate}, A::AbstractVector)
length(A) == length(s) ||
throw(DimensionMismatch("Output size inconsistent with sample length."))
_rand!(s, A)
end
function rand!(s::Sampleable{Multivariate}, A::DenseMatrix)
size(A,1) == length(s) ||
throw(DimensionMismatch("Output size inconsistent with sample length."))
_rand!(s, A)
end
rand(s::Sampleable{Multivariate,S}) where {S<:ValueSupport} =
_rand!(s, Vector{eltype(S)}(length(s)))
rand(s::Sampleable{Multivariate,S}, n::Int) where {S<:ValueSupport} =
_rand!(s, Matrix{eltype(S)}(length(s), n))
```

If there is a more efficient method to generate multiple vector samples in batch, one should provide the following method

```
function _rand!(s::Spl, A::DenseMatrix{T}) where T<:Real
# ... generate multiple vector samples in batch
end
```

Remember that each *column* of A is a sample.

### Matrix-variate Sampler

To implement a multivariate sampler, one can define a sub type of `Sampleable{Multivariate,S}`

, and provide both `size`

and `_rand!`

method, as

```
Base.size(s::Spl) = ... # the size of each matrix sample
function _rand!(s::Spl, x::DenseMatrix{T}) where T<:Real
# ... generate a single matrix sample to x
end
```

Note that you can assume `x`

has correct dimensions in `_rand!`

and don't have to perform dimension checking, the generic `rand`

and `rand!`

will do dimension checking and array allocation for you.

## Create a Distribution

Most distributions should implement a `sampler`

method to improve batch sampling efficiency.

`Distributions.sampler`

— Method.```
sampler(d::Distribution) -> Sampleable
sampler(s::Sampleable) -> s
```

Samplers can often rely on pre-computed quantities (that are not parameters themselves) to improve efficiency. If such a sampler exists, it can be provided with this `sampler`

method, which would be used for batch sampling. The general fallback is `sampler(d::Distribution) = d`

.

### Univariate Distribution

A univariate distribution type should be defined as a subtype of `DiscreteUnivarateDistribution`

or `ContinuousUnivariateDistribution`

.

Following methods need to be implemented for each univariate distribution type:

`rand(::AbstractRNG, d::UnivariateDistribution)`

`sampler(d::Distribution)`

`pdf(d::UnivariateDistribution, x::Real)`

`logpdf(d::UnivariateDistribution, x::Real)`

`cdf(d::UnivariateDistribution, x::Real)`

`quantile(d::UnivariateDistribution, q::Real)`

`minimum(d::UnivariateDistribution)`

`maximum(d::UnivariateDistribution)`

`insupport(d::UnivariateDistribution, x::Real)`

It is also recommended that one also implements the following statistics functions:

`mean(d::UnivariateDistribution)`

`var(d::UnivariateDistribution)`

`modes(d::UnivariateDistribution)`

`mode(d::UnivariateDistribution)`

`skewness(d::UnivariateDistribution)`

`kurtosis(d::Distribution, ::Bool)`

`entropy(d::UnivariateDistribution, ::Real)`

`mgf(d::UnivariateDistribution, ::Any)`

`cf(d::UnivariateDistribution, ::Any)`

You may refer to the source file `src/univariates.jl`

to see details about how generic fallback functions for univariates are implemented.

## Create a Multivariate Distribution

A multivariate distribution type should be defined as a subtype of `DiscreteMultivarateDistribution`

or `ContinuousMultivariateDistribution`

.

Following methods need to be implemented for each multivariate distribution type:

`length(d::MultivariateDistribution)`

`sampler(d::Distribution)`

`eltype(d::Distribution)`

`Distributions._rand!(::AbstractRNG, d::MultivariateDistribution, x::AbstractArray)`

`Distributions._logpdf(d::MultivariateDistribution, x::AbstractArray)`

Note that if there exists faster methods for batch evaluation, one should override `_logpdf!`

and `_pdf!`

.

Furthermore, the generic `loglikelihood`

function delegates to `_loglikelihood`

, which repeatedly calls `_logpdf`

. If there is a better way to compute log-likelihood, one should override `_loglikelihood`

.

It is also recommended that one also implements the following statistics functions:

`mean(d::MultivariateDistribution)`

`var(d::MultivariateDistribution)`

`entropy(d::MultivariateDistribution)`

`cov(d::MultivariateDistribution)`

## Create a Matrix-variate Distribution

A multivariate distribution type should be defined as a subtype of `DiscreteMatrixDistribution`

or `ContinuousMatrixDistribution`

.

Following methods need to be implemented for each matrix-variate distribution type: