I would like to draw a Cholesky-decomposed correlation matrix using the LKJ prior. I have tried to use the LKJCholeskyCov with an sd_dist=pm.Beta.dist(10**3,10**-3), as indicated in Uses of LKJCholeskyCov and LKJCorr - #2 by chartl . However, this leads to a warning for “Bad initial energy”. Can yo…

Drawing a Cholesky-decomposed correlation matrix

Antonis_Mav March 30, 2021, 9:21pm 8

Using a spike on a Normal distribution worked! Thanks a lot.

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