downdate_matrix_normal_inverse_wishart

function downdate_matrix_normal_inverse_wishart(X:Real[_,_], N:Real[_,_], Λ:LLT, V':Real[_,_], k':Real) -> (Real[_,_], Real)

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

  • X: The variate.
  • N': Precision times mean.
  • Λ: Precision.
  • V': Posterior variance shape.
  • k': Posterior degrees of freedom.

Returns: the prior hyperparameters V and k.