Hi Bill,
Thank you so much for your help!
Definitely, I will try to look at gp.Latent (I think I’ve seen it).
As a separate check, I’ve tried the following:
Y_ = pm.MvNormal (“Y_”, mu=mu, cov=cov, observed=Y)
which is essentially the same as gp.Marginal - I got a very similar result.
The number of covariates is 2 times (i.e., ~300) the measurement. This means my state (latent) vector is also the size of ~300. My understanding is that in the Bayesian setting, this is not unusual. When I checked the convergence for each latent variable, all looked good, but do you think this could be another problem?
Again, thanks so much!
- Seongeun