student_t_lpdf.hpp

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#ifndef STAN_MATH_PRIM_PROB_STUDENT_T_LPDF_HPP
#define STAN_MATH_PRIM_PROB_STUDENT_T_LPDF_HPP
 
#include <stan/math/prim/meta.hpp>
#include <stan/math/prim/err.hpp>
#include <stan/math/prim/fun/as_column_vector_or_scalar.hpp>
#include <stan/math/prim/fun/as_array_or_scalar.hpp>
#include <stan/math/prim/fun/as_value_column_array_or_scalar.hpp>
#include <stan/math/prim/fun/constants.hpp>
#include <stan/math/prim/fun/digamma.hpp>
#include <stan/math/prim/fun/lgamma.hpp>
#include <stan/math/prim/fun/log.hpp>
#include <stan/math/prim/fun/log1p.hpp>
#include <stan/math/prim/fun/max_size.hpp>
#include <stan/math/prim/fun/size.hpp>
#include <stan/math/prim/fun/size_zero.hpp>
#include <stan/math/prim/fun/square.hpp>
#include <stan/math/prim/fun/to_ref.hpp>
#include <stan/math/prim/fun/value_of.hpp>
#include <stan/math/prim/functor/partials_propagator.hpp>
#include <cmath>
 
namespace stan {
namespace math {
 
template <bool propto, typename T_y, typename T_dof, typename T_loc,
          typename T_scale,
          require_all_not_nonscalar_prim_or_rev_kernel_expression_t<
              T_y, T_dof, T_loc, T_scale>* = nullptr>
inline return_type_t<T_y, T_dof, T_loc, T_scale> student_t_lpdf(
    const T_y& y, const T_dof& nu, const T_loc& mu, const T_scale& sigma) {
  using T_partials_return = partials_return_t<T_y, T_dof, T_loc, T_scale>;
  using T_y_ref = ref_type_if_not_constant_t<T_y>;
  using T_nu_ref = ref_type_if_not_constant_t<T_dof>;
  using T_mu_ref = ref_type_if_not_constant_t<T_loc>;
  using T_sigma_ref = ref_type_if_not_constant_t<T_scale>;
  static constexpr const char* function = "student_t_lpdf";
  check_consistent_sizes(function, "Random variable", y,
                         "Degrees of freedom parameter", nu,
                         "Location parameter", mu, "Scale parameter", sigma);
  T_y_ref y_ref = y;
  T_mu_ref mu_ref = mu;
  T_nu_ref nu_ref = nu;
  T_sigma_ref sigma_ref = sigma;
 
  decltype(auto) y_val = to_ref(as_value_column_array_or_scalar(y_ref));
  decltype(auto) nu_val = to_ref(as_value_column_array_or_scalar(nu_ref));
  decltype(auto) mu_val = to_ref(as_value_column_array_or_scalar(mu_ref));
  decltype(auto) sigma_val = to_ref(as_value_column_array_or_scalar(sigma_ref));
 
  check_not_nan(function, "Random variable", y_val);
  check_positive_finite(function, "Degrees of freedom parameter", nu_val);
  check_finite(function, "Location parameter", mu_val);
  check_positive_finite(function, "Scale parameter", sigma_val);
 
  if (size_zero(y, nu, mu, sigma)) {
    return 0.0;
  }
  if constexpr (!include_summand<propto, T_y, T_dof, T_loc, T_scale>::value) {
    return 0.0;
  }
 
  auto ops_partials
      = make_partials_propagator(y_ref, nu_ref, mu_ref, sigma_ref);
 
  const auto& half_nu
      = to_ref_if<include_summand<propto, T_dof>::value>(0.5 * nu_val);
  const auto& square_y_scaled = square((y_val - mu_val) / sigma_val);
  const auto& square_y_scaled_over_nu
      = to_ref_if<is_any_autodiff_v<T_y, T_dof, T_loc, T_scale>>(square_y_scaled
                                                                 / nu_val);
  const auto& log1p_val
      = to_ref_if<is_autodiff_v<T_dof>>(log1p(square_y_scaled_over_nu));
 
  size_t N = max_size(y, nu, mu, sigma);
  T_partials_return logp = -sum((half_nu + 0.5) * log1p_val);
  if constexpr (include_summand<propto>::value) {
    logp -= LOG_SQRT_PI * N;
  }
  if constexpr (include_summand<propto, T_dof>::value) {
    logp += (sum(lgamma(half_nu + 0.5)) - sum(lgamma(half_nu))
             - 0.5 * sum(log(nu_val)))
            * N / math::size(nu);
  }
  if constexpr (include_summand<propto, T_scale>::value) {
    logp -= sum(log(sigma_val)) * N / math::size(sigma);
  }
 
  if constexpr (is_any_autodiff_v<T_y, T_loc>) {
    const auto& square_sigma = square(sigma_val);
    auto deriv_y_mu = to_ref_if<(is_autodiff_v<T_y> && is_autodiff_v<T_loc>)>(
        (nu_val + 1) * (y_val - mu_val)
        / ((1 + square_y_scaled_over_nu) * square_sigma * nu_val));
    if constexpr (is_autodiff_v<T_y>) {
      partials<0>(ops_partials) = -deriv_y_mu;
    }
    if constexpr (is_autodiff_v<T_loc>) {
      partials<2>(ops_partials) = std::move(deriv_y_mu);
    }
  }
  if constexpr (is_any_autodiff_v<T_dof, T_scale>) {
    const auto& rep_deriv
        = to_ref_if<(is_autodiff_v<T_dof> && is_autodiff_v<T_scale>)>(
            (nu_val + 1) * square_y_scaled_over_nu
                / (1 + square_y_scaled_over_nu)
            - 1);
    if constexpr (is_autodiff_v<T_dof>) {
      const auto& digamma_half_nu_plus_half = digamma(half_nu + 0.5);
      const auto& digamma_half_nu = digamma(half_nu);
      edge<1>(ops_partials).partials_
          = 0.5
            * (digamma_half_nu_plus_half - digamma_half_nu - log1p_val
               + rep_deriv / nu_val);
    }
    if constexpr (is_autodiff_v<T_scale>) {
      partials<3>(ops_partials) = rep_deriv / sigma_val;
    }
  }
  return ops_partials.build(logp);
}
 
template <typename T_y, typename T_dof, typename T_loc, typename T_scale>
inline return_type_t<T_y, T_dof, T_loc, T_scale> student_t_lpdf(
    const T_y& y, const T_dof& nu, const T_loc& mu, const T_scale& sigma) {
  return student_t_lpdf<false>(y, nu, mu, sigma);
}
 
}  // namespace math
}  // namespace stan
#endif