This post is mainly some notes about linear algebra, the cholesky decomposition,
and a way of parametrising the multivariate normal which might be more efficient
in some cases. In general it is best to use existing implementations of stuff
like this - this post is just a learning exercise.
In a previous post I had a look at using pyro but found myself writing a lot more code just to have a look at the inference than to actually perform it. Fortunately, one of the arviz developers commented on the post and let me know that arviz would have...