MCMC is really slow even with C++ compiler

Questions
2

Hi Max,
Thanks for your question.

  • Have you done some prior predictive checks? Exponential and StudentT are fat-tails distributions and exp(50) can give super huge values, so I would check it the slowness isn’t coming from this. Depending on your domain and domain expertise, these priors could be justified, or maybe they are too wide :man_shrugging:
  • What’s the scale of the data? If they are on a huge scale, that can get very hard to sample. In these cases, standardizing the data usually helps.
  • What’s the size of your data? If it’s very big, then the model taking a long time to sample is less surprising.

Also, don’t forget to update your PyMC to the brand new 3.9.1 if you can :wink: There are lots of new features in there!
Hope this helps :vulcan_salute:

1 Like