Updated cholesky corr parameterization testing

spinkney · February 28, 2025, 7:37pm

Promising results from the Pymc folks

Comment by ricardoV94 - New CholeskyCorr transform

main ← jessegrabowski:new-cholesky-corr

CC @spinkney we confirmed that the log(det(jacob) thing works out to the same as… the one defined in your algorithm. We tested by doing the `sqrt(log(det(jacobian.T @ jacobian)))` mentioned in the PDF, perhaps @jessegrabowski can share that code for reproducibility. First results with sampling looked promising, but still very early :) By the way, do you happen to also have worked out the forward transform (from the constrained matrix to the unconstrained vector)? And thanks in advance! We must not forget to give the right attribution in the code @jessegrabowski

Confirmation that the det Jacobian is correct and early tests show improved sampling!

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Updated cholesky corr parameterization testing

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