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Add Generalized Pareto (GPD) and Extended GPD distributions #638

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Add Generalized Pareto (GPD) and Extended GPD distributions #638

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7824a2f
Add Generalized Pareto (GPD) and Extended GPD distributions
maresb Feb 4, 2026
2929f63
Add icdf method to ExtGenPareto distribution
maresb Feb 4, 2026
5ae11b1
refactor: convert GenParetoRV and ExtGenParetoRV to SymbolicRandomVar…
maresb Feb 5, 2026
660eeaa
Use numerically stable inverse survival function for GPD sampling
maresb Feb 5, 2026
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12 changes: 10 additions & 2 deletions pymc_extras/distributions/__init__.py
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Original file line number Diff line number Diff line change
Expand Up @@ -17,7 +17,13 @@
Experimental probability distributions for stochastic nodes in PyMC.
"""

from pymc_extras.distributions.continuous import Chi, GenExtreme, Maxwell
from pymc_extras.distributions.continuous import (
Chi,
ExtGenPareto,
GenExtreme,
GenPareto,
Maxwell,
)
from pymc_extras.distributions.discrete import (
BetaNegativeBinomial,
GeneralizedPoisson,
Expand All @@ -29,14 +35,16 @@
from pymc_extras.distributions.transforms import PartialOrder

__all__ = [
"R2D2M2CP",
"BetaNegativeBinomial",
"Chi",
"DiscreteMarkovChain",
"ExtGenPareto",
"GenExtreme",
"GenPareto",
"GeneralizedPoisson",
"Maxwell",
"PartialOrder",
"R2D2M2CP",
"Skellam",
"histogram_approximation",
]
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