simulate_multivariate_inverse_gamma_gaussian

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

Simulate a multivariate Gaussian distribution with an inverse-gamma prior over a diagonal covariance.

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