simulate_matrix_normal_inverse_gamma

function simulate_matrix_normal_inverse_gamma(N:Real[_,_], Λ:LLT, α:Real, β:Real[_]) -> Real[_,_]

Simulate a matrix normal-inverse-gamma distribution.

  • N: Precision times mean matrix.
  • Λ: Precision.
  • α: Variance shape.
  • β: Variance scales.