Set Prior Covariance Matrix for A,B,C,D

vbnet examples: mu = 0 (no prior), mu = 0.1 (with prior)

Download: ARD derivation notes

Data: Zak's data
reps = 4;
kk = 6;
arc = 9; (arc 9 is added as prior arc)
---------------------------------------------------------------------------------
Hi Juan

I guess so, how did you specify priors for the ARD prior experiments?
You need to set the mean and variance I guess, which would just be the diagonal of the full covariance matrix.
-- In ARD expr,
where delta = 1*ones(pinp,1) % by default initialization in Matt's code.

So, I only need to set the mean, let variance be default -Juan

I didn't realize the code output the full covaraiances - maybe we can look at the posterior covariances to understand correlation between the parameters as I suggested earlier - can you put some samples from the ARD prior experiments (Zak's data) on the web site?
- See top

Let's try to talk at 8am Friday if that works for you. If not then Thursday 8am would also work for me

- OK, Friday 8am.

David
----------------------------------------------------------------------------------
I happen to realize that, vbssm specifies the Prior Covariance matrix of D as diagonal, not full matrix.
(see the attached derivation Page 2, Equation 7)

But, I have checked that the Posterior Covariance matrix of D obtained from the previous experiment (vsn_normalization) is actually a full matrix. How should we treat it? Is it OK to let the non-diagonal entries be zero, in order to fit the vbssm model?

-Juan