Hi, I am trying to fit a noise/scale parameter to individuals, allowing for some partial pooling. I thought about doing something analogous to the normal non-centered parameterization for location parameters. As values must be positive, I try to work in log-scale and exponentiate the result of the…

That seems like a reasonable starting point. Here’s an article on doing this for obtaining individual noise parameters via regression. Note that this author is using the softplus transformation which may have better numerical stability for large argument values. Also, the the reason we use the nonce…

What is a good strategy to model individual noise parameters hierarchically (with partial pooling)?

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ricardoV94 July 9, 2020, 8:53am 3

Thank you for the clarification!

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What is a good strategy to model individual noise parameters hierarchically (with partial pooling)?

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