update_matrix_normal_inverse_gamma

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

Update the parameters of a matrix normal-inverse-gamma variate.

  • X: The variate.
  • N: Precision times mean.
  • Λ: Precision.
  • α: Prior variance shape.
  • β: Prior variance scales.

Returns: the posterior hyperparameters α' and β'.