Positive-definiteness in separable priors: effects on prior interpretability and inference

A popular class of priors for symmetric positive-definite matrices assumes independent entries and adds a truncation to ensure positive-definiteness. While conceptually simple and often computationally convenient, unless done carefully this truncation can have unintended effects. If the truncated prior or its margins are significantly different from their untruncated counterpart, then its interpretability may suffer, its shrinkage properties become harder to characterise, and posterior inference may be affected in unanticipated ways. We investigate the effect of the truncation both for dense and sparse matrices, and show how to set prior parameters such as the variance of off-diagonal entries such that said effect is mitigated as the matrix dimension grows. We pay particular attention to sparse inference where, unless prior parameters are set carefully, the truncated prior and hence its corresponding posterior assign systematically higher mass to sparser structures than the untruncated prior.