Are there any plans for or interest in implementing half normal or half student-t distributions? They are pretty handy as priors for hierarchical variance parameters, and as components of shrinkage priors like the regularized horseshoe (e.g., Prior Choice Recommendations · stan-dev/stan Wiki · GitHub).
as you noted, transformed distributions can be easily added by extending the pyro.distributions.torch.TransformedDistribution as in the HalfCauchy. distributions are added on a per need basis, so if you end up implementing one, we welcome you to contribute it upstream!
I am implementing HalfNormal and porting HalfCauchy to PyTorch. Using TransformedDistribution is not straightforward because a TransformedDistribution’s log_prob does not automatically work with AbsTransform. My implementation still needs to pass some statistical tests. Stay tune!