Truncated Student t is extremely slow

Hello devs,

NUTS sampler is extremely slow with Truncated Student t distribution.

In my case, using Truncated Student t for observation is 4 times slower than Student t. Is it due to tensorflow probability which I had to install specifically for Truncated Student t distribution? Is this a known issue? Thanks!

computing log_probs of truncated distributions often involves nasty special functions and so is expected to be slow in many cases. 4x doesn’t sound that bad really

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Why do we need tensorflow probability for Truncated Student t, but not for Truncated Normal?

the warning basically tells you that the incomplete beta function is needed to compute inverse cdfs:

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