update_multivariate_linear_gaussian_gaussian

function update_multivariate_linear_gaussian_gaussian(x:Real[_], A:Real[_,_], μ:Real[_], Σ:Real[_,_], μ_m:Real[_], Σ_m:Real[_,_]) -> (Real[_], Real[_,_])

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

  • x: The variate.
  • A: Scale.
  • μ: Prior mean.
  • Σ: Prior variance.
  • μ_m: Marginal mean.
  • Σ_m: Marginal variance.

Returns: the updated parameters μ and Σ.