Hey newquant,
I’ve done a bit of this using the GaussianRandomWalk prior. I haven’t posted the full notebook anywhere yet, but I put together a talk on the work that you can find here.
The basic idea is that I construct a lower diagonal matrix where each element is an exponentiated GaussianRandomWalk and use that to create the covariance matrix, which I use as input to a Multivariate Normal likelihood. Hope this helps!
Cheers,
Max Margenot