LewandowskiKurowickaJoe (LKJ) distribution
Story
Probability distribution for positive definite correlation matrices, or equivalently for their Cholesky factors.
To understand what a correlation matrix is, it helps to think first of a covariance matrix \(\mathsf{\Sigma}\), such as those used in the Multivariate Normal distribution. The covariance matrix may also be written as \(\mathsf{\Sigma} = \mathsf{S} \cdot \mathsf{C} \cdot \mathsf{S}\), where \(\mathsf{S} = \sqrt{\mathrm{diag}(\mathsf{\Sigma})}\), and entry \(i, j\) in the correlation matrix \(\mathsf{C}\) is \(C_{ij} = \sigma_{ij}/\sigma_i\sigma_j\). The diagonal of the correlation matrix is all ones, and the offdiagonal entries can range from \(1\) to \(1\). Note also that because \(\mathsf{\Sigma}\) is symmetric and positive definite, so is \(\mathsf{C}\).
Parameters
There is one positive scalar parameter, \(\eta\), which tunes the strength of the correlations. If \(\eta=1\), the density is uniform over all correlation matrix. If \(\eta>1\), matrices with a stronger diagonal (and therefore smaller correlations) are favored. If \(\eta<1\), the diagonal is weak and correlations are favored.
Support
The LKJ distribution is supported over the set of \(K\times K\) Cholesky factors of real symmetric positive definite matrices.
Probability density function
The LKJ distribution is a distribution over a \(K\times K\) correlation matrix \(\mathsf{C}\). The normalization constant is a complicated expression involving Beta functions; the important feature of the PDF is that the probability density function is proportional to the determinant of the correlation matrix raised to the \(\eta  1\) power.
Here, \(B(\alpha, \beta)\) is a Beta function.
The marginal distribution for each offdiagonal entry in \(\mathsf{C}\) is a Beta distribution with parameters \(\alpha = \beta = \eta  1 + K/2\).
Moments
Mean: Identity matrix of order \(K\). That is, each offdiagonal entry is zero, meaning that the average correlation between covariates is zero.
Variance of each entry offdiagonal entry: \(\displaystyle{\frac{4\left(\eta + \frac{K}{2}  1\right)^2}{(2\eta + K  2)^2 (2\eta + K 1)}}\)
Usage
The usage below assumes that mu
is a length \(K\) array, Sigma
is a \(K\times K\) symmetric positive definite matrix, and L
is a \(K\times K\) lowertriangular matrix with strictly positive values on the diagonal that is a Cholesky factor.
Package 
Syntax 

NumPy 
not available 
SciPy 
not available 
Stan 

Stan Cholesky 

Notes
The most common use case is as a prior for a covariance matrix. Note that LKJ distribution as implemented in Stan gives correlation matrices, not covariance matrices. We typically work with Cholesky factors. To get the covariance Cholesky factor from the correlation Cholesky factor, we need to multiply the correlation Cholesky factor by a diagonal matrix constructed from the variances of the individual variates. Here is an example using the LKJ distribution in a model with a multivariate Normal likelihood in Stan.
parameters {
// Vector of means
vector[K] mu;
// Cholesky factor for the correlation matrix
cholesky_factor_corr[K] L_Omega;
// Sqrt of variances for each variate
vector<lower=0>[K] L_std;
}
transformed parameters {
// Cholesky factor for covariance matrix
matrix[K, K] L_Sigma = diag_pre_multiply(L_std, L_Omega);
}
model {
// Prior on Cholesky decomposition of correlation matrix
L_Omega ~ lkj_corr_cholesky(1);
// Prior on standard deviations for each variate
L_std ~ normal(0, 2.5);
// Likelihood
y ~ multi_normal_cholesky(mu, L_Sigma);
}