pdf_matrix_normal_inverse_wishart

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

PDF of a matrix normal-inverse-Wishart variate.

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

Returns: the probability density.