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MultivariateNormalInverseGamma

class MultivariateNormalInverseGamma(μ:Expression<Real[_]>, A:Expression<Real[_,_]>, α:Expression<Real>, β:Expression<Real>) < Distribution<Real[_]>

Multivariate normal-inverse-gamma distribution.

This represents the joint distribution:

which may be denoted:

and is the conjugate prior of a Gaussian distribution with both unknown mean and unknown variance.

In model code, it is not usual to use this final class directly. Instead, establish the conjugate relationship via code such as the following:

σ2 ~ InverseGamma(α, β);
x ~ Gaussian(μ, A*σ2);
y ~ Gaussian(x, σ2);

where the last argument in the distribution of y must appear in the last argument of the distribution of x. The operation of A on σ2 may be multiplication on the left (as above) or the right, or division on the right.

Member Variables

Name Description
μ:Expression<Real[_]> Mean.
A:Expression<Real[_,_]> Covariance scale.
σ2:InverseGamma Variance.