censored measures

Author: cscherrer

src/combinators/censored.jl

@@ -0,0 +1,46 @@
+struct Censored{P,L,U,W} <: AbstractMeasure
+    parent::P
+    lower::L
+    upper::U
+    ℓ_lower
+    ℓ_upper
+
+    function Censored(d::P, lower::L, upper::U) where {P,L,U}
+        tails = cdf(d, lower) + ccdf(d, upper)
+        logweight = -log1p(-tails)
+        new{P,L,U,typeof(logweight)}(d, lower, upper, logweight)
+    end
+
+    function Censored(d::P, ::Nothing, upper::U) where {P,U}
+        logweight = -logcdf(d, upper)
+        new{P,Nothing,U,typeof(logweight)}(d, nothing, upper, logweight)
+    end
+
+    function Censored(d::P, lower::L, ::Nothing) where {P,L}
+        logweight = -logccdf(d, lower)
+        new{P,L,Nothing,typeof(logweight)}(d, lower, nothing, logweight)
+    end
+end
+
+function Base.rand(rng::AbstractRNG, ::Type{T}, d::Censored) where {T}
+    x = rand(rng, T, d.parent)
+    clamp(x, d.lower, d.upper)
+end
+
+insupport(d::Censored, x) = insupport(d.parent, x) && d.lower ≤ x ≤ d.upper
+
+insupport(d::Censored{P,L,Nothing}, x) where {P,L} = insupport(d.parent, x) && d.lower ≤ x
+
+insupport(d::Censored{P,Nothing,U}, x) where {P,U} = insupport(d.parent, x) && x ≤ d.upper
+
+export censored
+
+censored(d, lower, upper) = Censored(d, lower, upper)
+
+censored(d, ::Nothing, ::Nothing) = d
+
+censored(d; lower=nothing, upper=nothing) = censored(d, lower, upper)
+
+logdensity_def(d::Censored, x) = logdensity_def(d.parent, x)
+
+basemeasure(d::Censored, x) = basemeasure(d.parent)