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What is the reason for adopting this odd behaviour? It seems to me that the most sensible thing to do would be to return 0 if shape isn't NaN or (+-)INFINITY. This is just one instance, as there seem to be a couple of other odd return values.
impl Mean<f64> for Gamma {
/// Returns the mean of the gamma distribution
///
/// # Remarks
///
/// Returns `shape` if `rate == f64::INFINITY`. This behavior
/// is borrowed from the Math.NET implementation
///
/// # Formula
///
/// ```ignore
/// α / β
/// ```
///
/// where `α` is the shape and `β` is the rate
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