Also, note that in PyMC >= 3.9.0, you can access the expanded Cholesky factor automatically:
L, Rho, sigmas = pm.LKJCholeskyCov(
'chol_cov', n=3, eta=2., sd_dist=pm.HalfCauchy.dist(2.0),
compute_corr=True
)
Also, note that in PyMC >= 3.9.0, you can access the expanded Cholesky factor automatically:
L, Rho, sigmas = pm.LKJCholeskyCov(
'chol_cov', n=3, eta=2., sd_dist=pm.HalfCauchy.dist(2.0),
compute_corr=True
)