OK I would be interested in seeing how to do that. Are there any examples or hints on how to start? I worked a lot with time series models (think nonlinear auto

OK I would be interested in seeing how to do that. Are there any examples or hints on how to start? I worked a lot with time series models (think nonlinear autoregressive), where there's strong short term autocorrelation, and the coercion to diagonal covariance seemed inappropriate. I have also a naïve question: why not use the graphical structure of the model itself to add structure to the covariance? For example, in an AR model, each time point places prior on the next time point, so why not assume a banded covariance? More generally, one could use a cutoff on shortest path length (through the model's graphic structure) between parameters to decide if they should have nonzero coefficients.