update_multivariate_normal_inverse_gamma_multivariate_gaussian

function update_multivariate_normal_inverse_gamma_multivariate_gaussian(x:Real[_], ν:Real[_], Λ:LLT, α:Real, γ:Real) -> (Real[_], LLT, Real, Real)

Update the parameters of a normal inverse-gamma distribution with a multivariate Gaussian likelihood.

  • x: The variate.
  • ν: Prior precision times mean.
  • Λ: Prior precision.
  • α: Prior shape of the inverse-gamma.
  • γ: Prior scale accumulator.

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