I’m working on a model with a nested hierarchy and it’s straightforward to apply partial-pooling over things like location and scale parameters, but is there a way to apply the partial-pooling concept to correlation matrices too? I’m guessing it would actually have to be implemented in terms of cova…

Partial-pooling of correlation (or covariance) matrices?

Charles_Driver October 8, 2020, 10:33am 3

2 Likes

Topic		Replies	Views
Hierarchical prior (for partial pooling) on correlation matrices? General	28	3861	March 8, 2022
Covariance matrix with more hierarchy levels Modeling	4	1868	May 31, 2017
Hierarchical Correlation? Modeling	42	4207	April 6, 2021
Improving speed in hierarchical VAR modelling Modeling	0	367	August 22, 2019
Few-but-persistent divergences in hierarchical models with partially-pooled variances Modeling	9	690	March 30, 2022