downdate_matrix_normal_inverse_gamma

function downdate_matrix_normal_inverse_gamma(X:Real[_,_], N:Real[_,_], Λ:LLT, α':Real, β':Real[_]) -> (Real, Real[_])

Downdate the parameters of a matrix normal-inverse-gamma variate.

  • X: The variate.
  • N: Precision times mean.
  • Λ: Precision.
  • α': Posterior variance shape.
  • β': Posterior variance scales.

Returns: the prior hyperparameters α and β.