I'm doing some work involving pseudo-random data generation (I don't do the proper PRNG work, I just use generators). As I tweak and add features, I find myself in need for proper type definitions for random variables and for probability distributions, on an abstract level, which I can manipulate similarly to numbers in C++. The simplest example would be a random variable which, unlike a real number, is represented by both a mean and a variance. So when you add two of them, the variances also adds up; if you divide by a constant $k$ the variance drops by $\sqrt{k}$ etc.

I know that the "heavier" packages for statistical computing (maybe Scythe? Rcpp? those are the ones I've heard of anyway) probably have something like that in there somewhere, but I don't want to drag in something huge.

I can also implement something rudimentary myself, but that takes more time, is more bug-prone and is a waste if something is already available.

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