update_linear_multivariate_gaussian_gaussian
function update_linear_multivariate_gaussian_gaussian(x:Real, a:Real[_], μ:Real[_], Σ:LLT, c:Real, s2:Real) -> (Real[_], LLT)
Update the parameters of a multivariate Gaussian distribution with a linear transformation involving a dot product, and a multivariate Gaussian likelihood.
- x: The variate.
- a: Scale.
- μ: Prior mean.
- Σ: Prior covariance.
- c: Offset.
- s2: Likelihood covariance.
Returns: the posterior hyperparameters μ'
and Σ'
.