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Fix math in sigma attachment (#207)
When reparametrizing sigma into explained variance + resigual sigma, tau is not needed any more, but was mistakenly used in the model that lead to instabilities and incorrect interpretation.
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  • pymc_experimental/distributions/multivariate

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pymc_experimental/distributions/multivariate/r2d2m2cp.py

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@@ -65,8 +65,7 @@ def _R2D2M2CP_beta(
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psi: tensor
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probability of a coefficients to be positive
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"""
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tau2 = r2 / (1 - r2)
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explained_variance = phi * pt.expand_dims(tau2 * output_sigma**2, -1)
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explained_variance = phi * pt.expand_dims(r2 * output_sigma**2, -1)
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mu_param, std_param = _psivar2musigma(psi, explained_variance, psi_mask=psi_mask)
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if not centered:
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with pm.Model(name):

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