pdf_matrix_normal_inverse_wishart_matrix_gaussian

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

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

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

Returns: the probability density.