I need to fit a model with a covariance matrix changing over time. A toy example code could look like this: data { int<lower=1> m; // Dimension of observation vector int<lower=1> N; // Length of time series vector[m] y[N]; // Time series } parameters { cov_matrix[m] Sigma[N]; } transformed paramete…

Dynamical covariance matrix

Charles_Driver February 8, 2022, 8:13pm 7

seems like this discussion Partial-pooling of correlation (or covariance) matrices? - #4 by BenH could help, though if you really have diagonal cov matrices you’re in much simpler territory – but it might give you the idea :)

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