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[Feature Request] Hierarchical priors?
See original GitHub issue🚀 Feature Request
It would be useful to be able to set lengthscale (and other kernel parameter) priors to be hierarchical, so that a parameter values among individuals in a population could be informed partially through others in the population.
Motivation
I’m currently using IndependentModelList to batch fit sets of related GPs, which are independent but should a priori have kernel parameters that are similar. Some of the GPs with sparser data are not very stable, and would benefit from a hierarchical setup.
Issue Analytics
- State:
- Created 4 years ago
- Comments:6 (3 by maintainers)
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At the moment, it’s not available. Our team is a bit stretched, so we welcome a PR for this feature.
Is there a way to do hierarchical priors now? I would like to set, for example, a lengthscale prior l~LogNormal(x, y), where x follows a distribution, say, Normal(0,1), and y also follows a distribution, Gamma(1,1). I wonder whether you have some suggestions. Thanks!