LN-CASS prior implementation in pymc

ln_cass.py

# Implementation of the logit-normal continuous analogue of the spike-and-slab (LN-CASS) prior
# From https://royalsocietypublishing.org/doi/full/10.1098/rsif.2018.0572
import pymc as pm
import numpy as np
import matplotlib.pyplot as plt

mu = 0
tau = 5
sigma = 10
with pm.Model() as m:
    lam = pm.LogitNormal("lam", mu, sigma)
    x = pm.Normal("x", sigma=lam * tau)
    
with m:
    samples = pm.draw(x, 10000)
    plt.hist(samples, bins=50, rwidth=0.9, density=True, align='mid')