I am trying to model the Jeffreys prior for error variance in a heteroscedastic ANOVA design in rstan.
That is to say, .
Is the following setting correct?
target += -2 * sum(log(sigma));
where the vector variable is declared as
vector<lower=0>[C] sigma; // standard deviation of the error term
It seems not, because my current codes return an MCMC divergence warning.
Thank you for the kind comments.