I would like to use a multivariate normal distribution with a diagonal covariance matrix in my model. What is the correct way to do it? At the moment I am using the following code: sigma = pm.InverseGamma('sigma', alpha, beta, shape=(num_dimensions)) mu = pm.MvNormal('mu', mu=means, cov=tt.nlinalg.…

Why not use the pm.Normal directly? mu = pm.Normal('mu', mu=means, sd = sigma, shape=(num_dimensions,))

Multivariate normal with diagonal covariance

gbernstein March 20, 2019, 7:52pm 6

Had the exact same problem and luckily found your solution in this thread. Agreed an update to the docstrings would be helpful.

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