update_linear_multivariate_gaussian_multivariate_gaussian

function update_linear_multivariate_gaussian_multivariate_gaussian(x:Real[_], A:Real[_,_], μ:Real[_], Σ:Real[_,_], c:Real[_], S:Real[_,_]) -> (Real[_], Real[_,_])

Update the parameters of a multivariate Gaussian distribution with a linear transformation and multivariate Gaussian likelihood.

  • x: The variate.
  • A: Scale.
  • μ: Prior mean.
  • Σ: Prior covariance.
  • c: Offset.
  • S: Likelihood covariance.

Returns: the posterior hyperparameters μ' and Σ'.