Reparameterization of student_t(3, 0, 1)


#1

According to Chapter 28.6 the Reparameterization of truncated [0, ] student_t(3, 0, 1) is:

real<lower=0, upper=1> sigma_unif;
real<lower=0> sigma = sqrt(-3+3/sqrt(x));

Is there any advantage in Stan to do so? I got this funnel’s of a multivariate normal in Stan
and I thought the tan transformation of the cauchy results in too long tails.

Details:


#2

You should try it for your data. These reparameterizations can vary in effectiveness based on how much the data plus prior constrains the parameter values.