Possibility to update JAGS to sample structured (e.g. kronecker product) covariance matrices

  • tds151

    tds151 - 2012-10-01

    JAGS 3.2.0 requires conjugacy to sample a symmetric, positive-definite (SPD) matrix. It is common, however, to compose a covariance matrix in a sparse fashion through taking the kronecker product of lower-dimensional SPD objects. Each lower-dimensional SPD term in the product are conjugate under a matrix normal distribution. Is it possible to make an update to JAGS to allow a take advantage of the matrix normal conjugacy of a covariance matrix constructed from outer products? Such an enhancement would open up a large class of models for JAGS. Even better, of course, would be to permit non-conjugate updates of covariance matrices.

  • Martyn Plummer

    Martyn Plummer - 2012-10-03

    We already discussed kronecker products in this thread. I'm happy to consider it as a feature request, but I need a complete example to test the code.


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