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I noticed that I had used the wrong syntax for the MH sampler in Turing in #323. I wanted to use the same random walk proposal as for the mini turing example but currently it uses static
Normal(0, 1)
proposals. This explains also the low ESS.It seemed easiest (and probably it's one of the most efficient approaches) to just specify the covariance matrix of the random walk proposals, and it should be more efficient to specify explicitly that it is an identity matrix. Alternatively, but IMO less concise and/or efficient, one could use
MH(:a => x -> Normal(x, 1), :b => x -> Normal(x, 1))
orMH(:a => AdvancedMH.RandomWalkProposal(Normal()), :b => AdvancedMH.RandomWalkProposal(Normal()))
.