Using GEV in PyMC v4

Questions v5
1

I would like use the generalized extreme value distribution in PyMC v4. This distribution is available in PyMC3, but for v4 I would need to create a custom distribution and use pm.DensityDist.

I am struggling to work out how to create a custom distribution in PyMC4 and I can’t find any working example notebooks.

Please could either:
a) pm.GenExtreme() get ported into PyMC4
b) An example notebook be made that shows how to create and use custom distributions in PyMC4.

Many thanks,
Harry

2

It looks like that distribution has been moved to the pymc experimental package and that development is ongoing, including work on a notebook illustrating its use. If you need this functionality, I might chime in on one of those issues.