My question is `brms`

specific and builds directly upon the custom response distribution vignette.

Imagine I want to extend the beta-binomial model with an idiosyncratic `phi`

per level of `herd`

:

`phi ~ (1|herd)`

(I am not sure how much this makes sense here, but it is hopefully easy to see that there are situations where this could make sense).

If we specify this model, we can see a somewhat suboptimal default prior:

```
make_stancode(bf(
incidence ~ period + (1|p|herd),
phi ~ (1|p|herd)), data = cbpp,
family = beta_binomial2, stan_funs = stan_funs,
stanvars = stanvars)
```

```
[...]
model {
[...]
vector[N] phi = rep_vector(0, N) + temp_phi_Intercept;
for (n in 1:N) {
[...]
phi[n] += r_1_phi_2[J_1[n]] * Z_1_phi_2[n];
phi[n] = exp(phi[n]);
[...]
}
// priors including all constants
[...]
target += student_t_lpdf(temp_phi_Intercept | 3, 0, 10);
[...]
// likelihood including all constants
if (!prior_only) {
for (n in 1:N) {
target += beta_binomial2_lpmf(Y[n] | mu[n], phi[n], trials[n]);
}
}
}
[...]
```

As specified in the `custom_family`

, the exponential transformation is used to get `phi`

from the unconstrained range onto the positive range. However, a `t`

distribution with `df = 3`

and `sd = 10`

seems somewhat problematic and the model also will not converge successfully. If we choose a considerably smaller prior, it nevertheless works (although the model still has some divergent transitions):

```
fit4 <- brm(bf(
incidence ~ period + (1|p|herd),
phi ~ (1|p|herd)), data = cbpp,
family = beta_binomial2, stan_funs = stan_funs,
stanvars = stanvars,
prior = set_prior("student_t(3, 0, 0.5)", dpar = "phi", class = "Intercept"),
control = list(adapt_delta = 0.999)
)
summary(fit4)
# Family: beta_binomial2
# Links: mu = logit; phi = log
# Formula: incidence ~ period + (1 | p | herd)
# phi ~ (1 | p | herd)
# Data: cbpp (Number of observations: 56)
# Samples: 4 chains, each with iter = 2000; warmup = 1000; thin = 1;
# total post-warmup samples = 4000
# ICs: LOO = NA; WAIC = NA; R2 = NA
#
# Group-Level Effects:
# ~herd (Number of levels: 15)
# Estimate Est.Error l-95% CI u-95% CI Eff.Sample Rhat
# sd(Intercept) 0.40 0.27 0.02 1.03 849 1.00
# sd(phi_Intercept) 0.85 0.98 0.03 3.40 991 1.00
# cor(Intercept,phi_Intercept) -0.23 0.56 -0.98 0.90 2398 1.00
#
# Population-Level Effects:
# Estimate Est.Error l-95% CI u-95% CI Eff.Sample Rhat
# Intercept -1.33 0.28 -1.90 -0.79 2855 1.00
# phi_Intercept 2.51 0.89 1.28 4.55 728 1.00
# period2 -0.99 0.43 -1.84 -0.16 4000 1.00
# period3 -1.27 0.48 -2.25 -0.35 3288 1.00
# period4 -1.52 0.54 -2.67 -0.53 4000 1.00
#
# Samples were drawn using sampling(NUTS). For each parameter, Eff.Sample
# is a crude measure of effective sample size, and Rhat is the potential
# scale reduction factor on split chains (at convergence, Rhat = 1).
# Warning message:
# There were 4 divergent transitions after warmup. Increasing adapt_delta above 0.999 may help.
# See http://mc-stan.org/misc/warnings.html#divergent-transitions-after-warmup
```

Following the prior-choice recommendations, a better prior could be chosen:

The

`neg_binomial_2`

distribution in Stan is parameterized so that the mean is`mu`

and the variance is`mu*(1 + mu/phi)`

. […]The generic prior [

`half-N(0,1)`

] works much much better on the parameter`1/phi`

. Even better, you can use`1/sqrt(phi)`

. This can be motivated by noticing you can write a negative binomial a`y | g ~ Poisson(g*mu)`

,`g ~ gamma(phi,phi)`

and the standard deviation of`g`

is`1/sqrt(phi)`

. Some more information is in the second-last section of this blog.

From my understanding, this would translate to something like (I still use `t`

here):

```
target += student_t_lpdf(1/sqrt(exp(temp_phi_Intercept)) | 3, 0, 1);
```

However, I seem to be unable to set such a prior with `brms`

. If I pass this with `prior_string()`

, this prior is added, but the original prior for this parameter is retained:

```
p <- prior_string(
"target += student_t_lpdf(1/sqrt(exp(temp_phi_Intercept)) | 3, 0, 1)",
dpar = "phi", class = "Intercept", check = FALSE)
make_stancode(bf(
incidence ~ period + (1|p|herd),
phi ~ (1|p|herd)), data = cbpp,
family = beta_binomial2, stan_funs = stan_funs,
stanvars = stanvars,
prior = p)
```

```
model {
[...]
// priors including all constants
target += student_t_lpdf(temp_phi_Intercept | 3, 0, 10);
[...]
target += student_t_lpdf(1/sqrt(exp(temp_phi_Intercept)) | 3, 0, 1);
[...]
}
```

My question: **How can I set the prior somewhat flexibly for the additional parameters in my custom response distribution?**

```
> sessionInfo()
R version 3.5.0 (2018-04-23)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows 7 x64 (build 7601) Service Pack 1
Matrix products: default
locale:
[1] LC_COLLATE=German_Switzerland.1252 LC_CTYPE=German_Switzerland.1252 LC_MONETARY=German_Switzerland.1252
[4] LC_NUMERIC=C LC_TIME=German_Switzerland.1252
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] knitr_1.20 brms_2.1.9 ggplot2_2.2.1 Rcpp_0.12.16
loaded via a namespace (and not attached):
[1] Brobdingnag_1.2-5 gtools_3.5.0 StanHeaders_2.17.2 threejs_0.3.1 shiny_1.0.5
[6] assertthat_0.2.0 highr_0.6 stats4_3.5.0 yaml_2.1.19 pillar_1.2.2
[11] lattice_0.20-35 glue_1.2.0 digest_0.6.15 promises_1.0.1 colorspace_1.3-2
[16] htmltools_0.3.6 httpuv_1.4.3 Matrix_1.2-14 plyr_1.8.4 dygraphs_1.1.1.4
[21] pkgconfig_2.0.1 devtools_1.13.5 rstan_2.17.3 xtable_1.8-2 mvtnorm_1.0-7
[26] scales_0.5.0 later_0.7.2 tibble_1.4.2 nleqslv_3.3.1 mgcv_1.8-23
[31] bayesplot_1.5.0 DT_0.4 withr_2.1.2 shinyjs_1.0 lazyeval_0.2.1
[36] magrittr_1.5 mime_0.5 evaluate_0.10.1 memoise_1.1.0 nlme_3.1-137
[41] xts_0.10-2 xml2_1.2.0 colourpicker_1.0 rsconnect_0.8.8 tools_3.5.0
[46] loo_2.0.0 matrixStats_0.53.1 stringr_1.3.1 munsell_0.4.3 bindrcpp_0.2.2
[51] compiler_3.5.0 rlang_0.2.0 grid_3.5.0 ggridges_0.5.0 rstudioapi_0.7
[56] htmlwidgets_1.2 crosstalk_1.0.0 igraph_1.2.1 miniUI_0.1.1 labeling_0.3
[61] base64enc_0.1-3 testthat_2.0.0 codetools_0.2-15 gtable_0.2.0 abind_1.4-5
[66] inline_0.3.14 roxygen2_6.0.1 markdown_0.8 reshape2_1.4.3 R6_2.2.2
[71] gridExtra_2.3 rstantools_1.5.0 zoo_1.8-1 bridgesampling_0.4-0 dplyr_0.7.4
[76] bindr_0.1.1 shinystan_2.5.0 commonmark_1.5 shinythemes_1.1.1 stringi_1.2.2
[81] parallel_3.5.0 coda_0.19-1
```