Defining Vectorizable Helper Function given Posterior Draws (Forecasting with BVAR)

[bob-carpenter]

This is a really interesting approach to identifying VAR models in the prior through a change-of-variables.

Sarah Heaps. 2023. Enforcing Stationarity through the Prior in Vector Autoregressions. JCGS.

There’d probably be a way to define a combined prior plus constraint that would let you put this into PyMC.