// Multivariate Regression Example // Taken from stan-reference-2.8.0.pdf p.66 data { int<lower=0> N; // num individuals int<lower=1> K; // num ind predictors int<lower=1> J; // num groups int<lower=1> L; // num group predictors int<lower=1,upper=J> jj[N]; // group for individual matrix[N,K] x; // individual predictors row_vector[L] u[J]; // group predictors vector[N] y; // outcomes } parameters { corr_matrix[K] Omega; // prior correlation vector<lower=0>[K] tau; // prior scale matrix[L,K] gamma; // group coeffs vector[K] beta[J]; // indiv coeffs by group real<lower=0> sigma; // prediction error scale } model { tau ~ cauchy(0,2.5); Omega ~ lkj_corr(2); to_vector(gamma) ~ normal(0, 5); { row_vector[K] u_gamma[J]; for (j in 1:J) u_gamma[j] <- u[j] * gamma; beta ~ multi_normal(u_gamma, quad_form_diag(Omega, tau)); } { vector[N] x_beta_jj; for (n in 1:N) x_beta_jj[n] <- x[n] * beta[jj[n]]; y ~ normal(x_beta_jj, sigma); } } # Note: Octothorpes indicate comments, too!