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