simulate_matrix_normal_inverse_wishart

function simulate_matrix_normal_inverse_wishart(N:Real[_,_], Λ:LLT, Ψ:Real[_,_], k:Real) -> Real[_,_]

Simulate a matrix normal-inverse-Wishart distribution.

  • N: Precision times mean matrix.
  • Λ: Precision.
  • Ψ: Variance shape.
  • k: Degrees of freedom.