Question about PyMC3 pragmatics

You are absolutely right - we are currently lacking this functionality. There is a WIP pull request to implement this: https://github.com/pymc-devs/pymc3/pull/2983 But we met some complication as there are bugs with the repeated shape/size.

For now, you can use this old (slow) implementation https://github.com/junpenglao/Planet_Sakaar_Data_Science/blob/master/WIP/Test_sample_prior.ipynb