pdf_multivariate_inverse_gamma_gaussian

function pdf_multivariate_inverse_gamma_gaussian(x:Real[_], μ:Real[_], α:Real, β:Real) -> Real

PDF of a multivariate Gaussian variate with an inverse-gamma distribution over a diagonal covariance.

  • x: The variate.
  • μ: Mean.
  • α: Shape of the inverse-gamma.
  • β: Scale of the inverse-gamma.

Return: the probability density.