How to deal with missing values

I have no experience about using missing values with numpyro but I am going to leave here a work around here which worked for me in the context of another problem. In my case, the missing values had a bit of structure so I could group them as was done here:

See the FIML: Full Information Maximum Likelihood section. Yes, this is MLE but can easily be applied to Bayesian settings. This works in cases where you say N observables each having d dimensions and you can group them into relatively small number of subgroups where each group has the same dimensions missing. Then you write a separate likelihood for each group but they share the priors. This is not ideal but if number of your subgroups is small should be ok.