Assigning Dependencies on Arbitrary Prior Distributions - Plus Avoiding Divergence by Sampling in Standard Normal Space.
in Blog Posts
With advanced sampling method (e.g., HMC), assigning prior distributions with arbitrary marginal is no longer a hurdle. However, what if we want to assign correlation between multiple random variables, each with marginal distributions very different to each other? Here I provide a general trick, which can also be applied to simply help the sampler in difficult regions (e.g., near the boundaries of bounded distributions), regardless if the marginals are independent, semi-dependent, or fully dependent.
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Methodology
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Application
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Conclusions
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