I have a hierarchical regression model which predicts several responses for each user. In prediction, I want to held-out users and predict all these response. The current model includes an independent latent variable per user. Therefore, prediction in the test set contains a different number of latent variables than prediction in training.
Which is the best way to run this prediction in pymc3? I’ve opted to build a second model for prediction in test with as many latent variables as users participants in the test set. For the rest of variables, I have used the mean of their samples, but I would ideally like to sample them as well.