downdate_multivariate_dot_gaussian_gaussian

function downdate_multivariate_dot_gaussian_gaussian(x:Real, a:Real[_], μ':Real[_], Σ':Real[_,_], c:Real, s2:Real) -> (Real[_], Real[_,_])

Downdate the parameters of a multivariate Gaussian distribution with a univariate Gaussian likelihood and scaling.

  • x: The variate.
  • a: Scale.
  • μ': Posterior mean.
  • Σ': Posterior covariance.
  • c: Offset.
  • s2: Likelihood variance.

Returns: the prior hyperparameters μ and Σ.