Is there a way to separately specify conjugate priors for the variance and correlations of a multivariate normal? The inverse Wishart is conjugate if you want to specify the covariance, but covariance matrices aren't very intuitive. Is it possible to instead specify a prior over the correlations, and separately a prior over the marginal variance for each parameter, while still keeping conjugacy?
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asked Jul 22, 2022 at 16:35
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