stan-dev/stan — pull request #168 by bob-carpenter (2013-07-31 15:53:39+00:00)
Title: Feature/cholesky factor type

This is everything for the covariance matrix type, including tests and manual update.

I made the syntax flexible so that cholesky_factor_cov[K] is the K by K case, and cholesky_factor_cov[M,N] is the general M >= N case.

We'll add correlation matrix Cholesky factors later.

I documented the type in the language section and the transform in the transform section (it's just the second step of the covariance matrix transform), but there aren't any use cases in the manual or in any sample models. I have no idea what kind of prior to put on a Cholesky factor for a covariance matrix --- if something easy makes sense, maybe Ben can add an example.