Add warning about unobserved continuous censored distributions

Co-authored-by: Michael Osthege <[email protected]>

Co-authored-by: Oriol Abril-Pla <[email protected]>
Co-authored-by: Michael Osthege <[email protected]>

Author: 3 people

pymc/distributions/censored.py

@@ -53,6 +53,15 @@ class Censored(SymbolicDistribution):
     upper: float or None
         Upper (right) censoring point. If `None`, the distribution will not be right censored.
 
+    Warnings
+    --------
+    Continuous censored distributions should only be used as likelihoods.
+    Continuous censored distributions are a form of discrete-continuous mixture
+    and as such cannot be sampled properly without a custom step sampler.
+    If you wish to sample such a distribution, you can add the latent uncensored
+    distribution to the model and then wrap it in a :class:`~pymc.Deterministic`
+    :func:`~pymc.math.clip`.
+
 
     Examples
     --------