Update multivariate dot gaussian gaussian

function update_multivariate_dot_gaussian_gaussian(x:Real, a:Real[_], μ:Real[_], Σ:Real[_,_], c:Real, s2:Real) -> (Real[_], Real[_,_])

Update the parameters of a multivariate Gaussian distribution with a univariate Gaussian likelihood and scaling.

  • x: The variate.
  • a: Scale.
  • μ: Prior mean.
  • Σ: Prior covariance.
  • c: Offset.
  • s2: Likelihood variance.

Returns: the posterior hyperparameters μ' and Σ'.