For all the conversation in Stan, it appears that Cauchy distribution is the most recommended prior distribution for sigma.
However, I seem to get a lot of divergent transactions when I use Cauchy. I also tried gamma, which also is not better.
However, one day I tried inv-gamma and it seems to have done the magic with no divergence at all.
I mentioned this to someone, who told me that I can not use inv-gamma for sigma, it has to be the inverse sigma that is inv-gamma distributed.
Is this true? Is it forbidden to use inv-gamma on sigma?
Any insight will be appreciated.