I am sorry ahead of time if this seems like a basic question, but I had difficulty finding resources online addressing this. In PyMC3, when building a basic model of a few variables, it is easy to define each on their own, like
alpha=pm.Normal('alpha',mu=0,st=1), and manually add them all with each other. However, what are the standard approaches when one is dealing with dozens/hundreds of variables, each needing a prior?
I see that the
shape argument is helpful in defining many priors at once, but after that how do you then add them all together in the mean equation (if your model specifies a Normal distribution), or what if different groups of variables need different priors?
I would heavily appreciate any advice on this matter, as I'm switching over to PyMC3 from regular machine learning and regression.