Covariate matrices as observations

This worked brilliantly on my data, thank you!! Of course, I hoped for a cleaner solution, but having an unlimited supply of random cov matrices definitely worth it. I did a quick comparison of the matrix traces between the original and generated covs Figure_2
Blue and orange are the data and random traces, respectively.
And this is the comparison of one of the off-diagonal elements:
Figure_1-2

The modes are reasonably close, the shapes are somewhat different, but of course the data is not random. It is still much closer than I would ever get by manual tinkering with distribution parameters. Now I just have to understand the role of the offset in nu, it is clearly necessary for NUTS to work. I would never guessed this, thank you for this insight.

Gergely