Dear all, There’s a very helpful notebook on Updating Priors in which the prior distributions of three variables are updated as new data becomes available. Importantly, these prior distributions are assumed independent. In practice however, priors are often correlated. How would one consider such …

I don’t know about that specific error; but your sampling is going to get killed without a non-centered parametrization. I think doing this will likely fix your problem too. I have some data: with pm.Model() as model_init: lvec = pm.LKJCholeskyCov('lvec', n=d, eta=1, sd_dist=pm.HalfCauchy.dist(…

Updating multivariate priors

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chartl February 26, 2019, 6:24pm 3

Would this be different from full rank ADVI? (How easy is it to pull out the the parameters into a new pm.MvNormal?)

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Updating multivariate priors

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