Here is what I am currently coding: model { for (j in 1:k) { h_std[j] ~ normal(0,1) ; } for (t in 1:TT) { y[,t] ~ multi_normal(rep_vector(0,N),quad_form_sym(diag_matrix(to_vector(exp(h[,t]))),B’)+diag_matrix(seps2)) ; } } where h_std is an array of k vectors of length TT vector[TT] h_std[…

Sampling from Multi variate Normal with time varying Covariance Matrix in a way similar to matlab

bbbales2 February 19, 2018, 6:30pm 4

What @Bob_Carpenter said is right, the code block at the end of his post will vectorize fine with a non-diagonal covariance matrix.

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