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Throw an error when truncating outside of support #1723

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Throw an error when truncating outside of support #1723

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3562330
Throw an error when truncating outside of support
ararslan May 12, 2023
94d2817
Check log(P(lower <= X <= upper))
ararslan May 18, 2023
9c3bf42
Use `logdiffcdf` for the probability of the truncated region
ararslan May 26, 2023
c9caac9
Discrete probability is my nemesis, apparently
ararslan May 27, 2023
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9 changes: 8 additions & 1 deletion src/truncate.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -72,7 +72,11 @@ function truncated(d::UnivariateDistribution, l::T, u::T) where {T <: Real}
ucdf = exp(logucdf)

# (log)tp = (log) P(l ≤ X ≤ u) where X ∼ d
logtp = logsubexp(loglcdf, logucdf)
logtp = if d isa DiscreteUnivariateDistribution
logaddexp(logdiffcdf(d, u, l), logpdf(d, l))
else
logdiffcdf(d, u, l)
end
tp = exp(logtp)

Truncated(d, promote(l, u, loglcdf, lcdf, ucdf, tp, logtp)...)
Expand All @@ -95,6 +99,9 @@ struct Truncated{D<:UnivariateDistribution, S<:ValueSupport, T<: Real, TL<:Union
logtp::T # log(tp), i.e. log(ucdf - lcdf)

function Truncated(d::UnivariateDistribution, l::TL, u::TU, loglcdf::T, lcdf::T, ucdf::T, tp::T, logtp::T) where {T <: Real, TL <: Union{T,Nothing}, TU <: Union{T,Nothing}}
if logtp == -Inf
throw(ArgumentError("cannot truncate distribution; `$d` has 0 probability in the interval `[$l, $u]`"))
end
new{typeof(d), value_support(typeof(d)), T, TL, TU}(d, l, u, loglcdf, lcdf, ucdf, tp, logtp)
end
end
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5 changes: 5 additions & 0 deletions test/truncate.jl
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Expand Up @@ -197,3 +197,8 @@ end
x = rand(d, 10_000)
@test mean(x) ≈ 0.5 atol=0.05
end

@testset "truncation outside support (#843)" begin
@test_throws ArgumentError truncated(Exponential(), -3, -1) # truncated region outside support
@test_throws ArgumentError truncated(Normal(2, 0), 0, 1) # point mass outside truncated region
end