Generalized Chi-squared distribution

Specific Domains Statistics
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Does anybody know some attempt to implement the Generalized Chi-squared distribution in Julia? (First I looked for it in Distributions.jl, but I have not found it there or anywhere else.)

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Not that Iā€™m aware of, but depending on what you want to use it for, a sampler should be easy to implement! If you want to go down the route of copying the R code to create a new Univariate Distribution Iā€™m sure it would be much appreciated by the package maintainers :slightly_smiling_face:

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Thanks. The R library seems to depend on C++ code that is not easy for me, and is GPL-licensed, so maybe itā€™s not a good choice. The Python library is MIT-licensed, but it seems also dependent on C++ and only implements the CDF, if Iā€™m not mistaken. The Matlab library, which is also MIT-licensed, might be another option, I think.

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If the Matlab is MIT licensed, Iā€™d definitely go for that! You can also try out the Matlab-to-Julia transpiler to make your job a little bit easier, although do note that itā€™s pretty rough and only gives a ā€œfirst draftā€ that youā€™ll probably have to edit.

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I have followed your suggestion:

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Update for anyone else who might be interested: I have created a separate package for the Generalized chi-squared distribution, since the PR hasnā€™t been accepted after over a year and a half (although not either rejected, just waiting for some review or decision, it seems to me).

I have not registered this package, but Iā€™m open to discuss it.

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