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13.8 lkj_cov
Distribution
Deprecated:The distribution lkj_cov
is deprecated.
Replacement: Replace lkj_cov_log(...)
with an lkj_corr
distribution on the correlation matrix and independent lognormal
distributions on the scales. That is, replace
cov_matrix[K] Sigma;
...
Sigma ~ lkj_cov(mu, tau, eta);
with
corr_matrix[K] Omega;
vector<lower=0>[K] sigma;
...
Omega ~ lkj_corr(eta);
sigma ~ lognormal(mu, tau);
...
cov_matrix[K] Sigma;
Sigma <- quad_form_diag(Omega, sigma);
The variable Sigma
may be defined as a local variable in the model
block or as a transformed parameter. An even more efficient transform
would use Cholesky factors rather than full correlation matrix types.