update_linear_matrix_normal_inverse_gamma_matrix_gaussian

function update_linear_matrix_normal_inverse_gamma_matrix_gaussian(X:Real[_,_], A:Real[_,_], N:Real[_,_], C:Real[_,_], Λ:LLT, α:Real, γ:Real[_]) -> (Real[_,_], LLT, Real, Real[_])

Update the parameters of a Gaussian variate with linear transformation of matrix-normal-inverse-gamma prior.

  • x: The variate.
  • A: Scale.
  • N: Prior precision times mean matrix.
  • C: Offset.
  • Λ: Prior precision.
  • α: Prior variance shape.
  • γ: Prior variance scale accumulators.

Returns: the posterior hyperparameters N', Λ', α' and γ'.