Hi @davidia, what do you mean by Conditional inference? Like Gibbs sampling?
I dont think full conditional is easy to do in PyMC3 (in Edward it does not always work as well, you can see the docstring of conjugacy.py in edward for more information).
There are many ways to speed up your model, you can start with a small model with few innovations, profile you model each step when you increase the model complexity, and try to speed up the slow part via reparameterization or approximation. It might be helpful if you can provide some code.