Comments (10)
I will add one (perhaps in the examples on how to use CustomTransform
). But I am curious what you need it for, since in practice its Cholesky factor is much more useful for inference.
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I have a model where the prior is inverse Wishart.
from transformvariables.jl.
I added it as a test/example.
I will think about adding it as a regular transform, but I don't think Wishart is a good prior, so I would rather encourage using half-Cauchy for standard deviations and LKJ for the correlation matrix (apologies if you know about this and decided you still need Wishart).
from transformvariables.jl.
I agree, but i'm replicating someone else's results.
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and thanks for the example!
from transformvariables.jl.
@simonbyrne: just to let you know, I am merging an API change now. I have updated the example in the tests.
If you are using this library in production, you may want to pin to df4234b, or update your code.
As the library is currently in development and I am experimenting, there will be no deprecations or releases until it stabilizes. So you may want to use Github's watch functionality for notifications.
from transformvariables.jl.
from transformvariables.jl.
+1 to please add this. I don't think preference against the Inverse Wishart prior is a strong reason not to include this transform - appropriateness of the Wishart/IW prior depends on the user's likelihood. I'm using a Wishart it for estimating a symmetric positive definite matrix that isn't a covariance (i.e. my likelihood is not multivariate Gaussian with unknown Sigma or anything remotely near), where LKJ is not necessarily appropriate, and Wishart with identity hyperparameter is a natural choice due to its group invariance properties.
from transformvariables.jl.
So would you need a transformation from an n⋅(n+1)/2
vector of reals to an n × n
positive definite matrix?
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Yes - just as in Stan - this would be fantastic!
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Related Issues (20)
- inverse of NamedTuple transformations from different ordering/superset
- Problems in calculating the log absolute Jacobian determinant of the CorrCholeskyFactor transformation HOT 2
- Transformations involving `StaticArray` is not type stable HOT 1
- TransformVariables: a subset of optics functionality? HOT 7
- Vectorizing scalar transforms? HOT 3
- Autodiff with constrained variable with Zygote HOT 8
- inverse does not check for inputs of special arrays HOT 1
- Feature idea: function to check if values lay in domains of transformation HOT 1
- UnitVector only transforms to positive hemisphere HOT 2
- Source links in docs point to julialang HOT 1
- Proposed transformation: Loading matrix for factor analysis HOT 2
- Inverse transformation for empty vectors fails HOT 1
- [not an issue] transform for a given distribution HOT 5
- TagBot trigger issue HOT 23
- Ordered transformations HOT 2
- transform of asℝ₊ variable turns Float32 into Float64 HOT 1
- Request for documentation of the UnitVector transformation HOT 10
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- Feature Idea: flat transform HOT 5
- Feature Idea: scaling factor for ShiftedExp HOT 3
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from transformvariables.jl.