simulate_matrix_normal_inverse_gamma_matrix_gaussian

function simulate_matrix_normal_inverse_gamma_matrix_gaussian(N:Real[_,_], Λ:LLT, α:Real, γ:Real[_]) -> Real[_,_]

Simulate a Gaussian distribution with a matrix-normal-inverse-gamma prior.

  • N: Precision times mean matrix.
  • Λ: Precision.
  • α: Variance shape.
  • γ: Variance scale accumulators.