simulate_inverse_gamma_multivariate_gaussian

function simulate_inverse_gamma_multivariate_gaussian(μ:Real[_], α:Real, β:Real) -> Real[_]

Simulate a multivariate Gaussian distribution with an inverse-gamma prior over a diagonal covariance.

  • μ: Mean.
  • α: Shape of the inverse-gamma.
  • β: Scale of the inverse-gamma.