I am new to stan and after looking at the experiments section in expectation propagation as a way of life, I want to implement the following mixture model using EP to learn about EP and stan.
The model is basically a mixture of EDCMs as explained here.
The PGM looks like this:
I am using the following site approximations:
That leads to the following approximating distribution:
I derived the model with EP, but I am having problems implementing in stan. Could somebody guide to where to start? I am looking at the code in ep-stan, but I don’t know what to look for.
Also, Z_i is not closed form since I have an EDCM and Gaussian distributions, so is there any way to use Laplace or MCMC in stan.
Thanks so much for your help!