I cannot set priors on auxillary parameters in distributional regressions

[zwelitunyiswa]

Thanks for the ongoing work on this great package. My issue is that I cannot set priors on auxillary parameters in distributional regressions.

For example, I am using a beta_binomial likelihood, and my prior for mu is recognized, by my priors for kappa are ignored:

Same thing when I change the formula for kappa:

I have had issues when I have tried other distributions as well.

[tomicapretto]

I think you need a nested dictionary, like

priors = {
    "mu": {"1|snf_id": bmb.Prior(...)},
    "kappa":  {"Intercept": bmb.Prior(...), "snf_id": bmb.Prior(...)}.
}

Let me know if that doesnt work and I can double check