pdf_linear_matrix_normal_inverse_gamma_matrix_gaussian

function pdf_linear_matrix_normal_inverse_gamma_matrix_gaussian(X:Real[_,_], A:Real[_,_], N:Real[_,_], C:Real[_,_], Λ:LLT, α:Real, γ:Real[_]) -> Real

PDF of a Gaussian variate with matrix normal inverse-gamma prior.

  • X: The variate.
  • A: Scale.
  • N: Precision times mean matrix.
  • C: Offset.
  • Λ: Precision.
  • α: Variance shape.
  • γ: Variance scale accumulators.

Returns: the probability density.