Is the matrix normal distribution available in pyro?

Kind regards,

I am building a model in which each observation is a matrix, i want to model it using the matrix normal distribution as define in:

Matrix normal distribution

Thanks.

No. Use the third equation on the wikipedia page that you linked to generate it yourself. You’ll have to specify priors for both the row and column covariance matrices – LKJ priors for correlations and [whatever you want] for volatilities will do nicely – then Kronecker product them together to get the overall covariance matrix for the multivariate normal. A prior for the mean is [whatever you want], just in vector form. After you draw from MultivariateNormal, reshape into the matrix shape you want. Does that make sense?

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