I would love to build a massive global macroeconomic model (vector autoregressions for exchange rates/ securities, spatiotemporal processes for raw materials like crop yields, etc) using something like this. It would just take way too long with Monte Carlo.
There are workarounds to build latent VARs, but it's not available right off the box. There'll be more developments on these type of models early next year! Reactive aspect of the toolbox makes the inference in these models fast
Also do you have any functionality for recognizing graph structure (I.e. marginalizing out variables, identifying conjugacy, automatic reparameterization)?
RxInfer.jl does some analysis, but it is quite limited atm. The main library for specifying the graph structure (GraphPPL.jl) is being rewritten, refactored and overhauled from grounds and should do much much better job in automatically recognising the graph structure in the future!