Non-convergence of Conditional Autoregressive model

Could you post the whole definition of CAR3? Also, pickle is not a good way to share data. If I open a malicious pickle file it could execute arbitrary code on my machine.

It looks like one of the chains is stuck for some reason. My best guess from the traces is that the high correlation of the mu_phi values are a problem for the sampler. Also, there is a very high level of uncertainty in rho and rho2, the data doesn’t seem to tell us very much about those.

On a side note, using a gamma(ε, ε) for scale parameters is usually not a good idea, although that choice is very common in older literature. It is usually better to use a HalfCauchy or HalfStudentT.