stan-dev / stan-dev/docs

Document variance correction for sum to zero matrix

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Description

Mostly a reminder for @spinkney who said he would add this on slack

Message

I need to add this to the manual. An N-dimensional tensor with variance tau^2 where each dimension sums to 0 through an isotropic sum-to-zero transform will have variance of tau^2 * prod( (d_k - 1) / d_k) so to correct you need tau^2 * prod(d_k / (d_k - 1)) as the correction.

I deliberately coded this to take in the dimensions to be suitable for a sum-to-zero N-d array but it works fine for matrix

functions {
    real s2z_unit_normal_correction (array[] int s2z_dims) {
        int N = num_elements(s2z_dims);
        vector[N] d = to_vector(s2z_dims);
        return sqrt(prod(d ./ (d - 1)));
    }

    real s2z_unit_normal_lpdf (vector z, array[] int s2z_dims) {
        int N = num_elements(s2z_dims);
        vector[N] d = to_vector(s2z_dims);
        return -dot_self(z) + N * 2 * prod(d ./ (d - 1));
    }
}
data {
    int<lower=1> N;
    int<lower=1> M;
    int<lower=0, upper=1> flag;
}
parameters {
    sum_to_zero_matrix[N, M] X;
}
model {
  if (flag == 0) {
    to_vector(X) ~ normal(0, s2z_unit_normal_correction(dims(X)));
  } else {
    to_vector(X) ~ s2z_unit_normal(dims(X));
  }
}

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First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Start by locating the Stan manual section covering sum-to-zero transforms and the existing documentation for the supplied correction. Add the variance formula and its matrix and N-dimensional tensor context, then verify that the manual renders and the documented correction matches the issue's example.

Written by the indexing model from the issue text.

Assessment

Tech stack
tex
Domain
documentation
Issue type
Documentation
Difficulty
2/5
Estimated time
1-3 hours
Activity status
Active
Clarity
Mostly clear
Newbie friendliness
68/100

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