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Closing this, since TuringLang/Bijectors.jl#183 is outdated now anyway. If we want to come back to this, it should be a package extension, either for MeasureTheory or MeasureBase.
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Let's see if we can transition to Bijectors.jl. This PR will depend on
TuringLang/Bijectors.jl#183
cc @torfjelde