update_linear_matrix_normal_inverse_wishart_multivariate_gaussian


function update_linear_matrix_normal_inverse_wishart_multivariate_gaussian(x:Real[_], a:Real[_], N:Real[_,_], Λ:LLT, c:Real[_], V:LLT, k:Real) -> (Real[_,_], LLT, LLT, Real)

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

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

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