update_matrix_normal_inverse_wishart_matrix_gaussian

function update_matrix_normal_inverse_wishart_matrix_gaussian(X:Real[_,_], N:Real[_,_], Λ:LLT, V:Real[_,_], k:Real) -> (Real[_,_], LLT, Real[_,_], Real)

Update the parameters of a Gaussian variate with matrix-normal-inverse-Wishart prior.

  • x: The variate.
  • N: Prior precision times mean matrix.
  • Λ: Prior precision.
  • V: Prior variance shape.
  • k: Prior degrees of freedom.

Returns: the posterior hyperparameters N', Λ', V' and k'.