update_normal_invgamma: Conjugate Normal - Inverse Gamma Update

In wzhorton/ramses: R Auxiliary Mcmc Suite for Easy Sampling

Description

Generates a value from the posterior distribution in the case where there is a multivariate normal likelihood and an inverse gamma prior.

Argument model:
y ~ Nn(mu, sig2*R)
sig2 ~ IG(a,b)

Usage

update_normal_invgamma(y, a, b, mu, R, R_inv)

Arguments

y	vector of values at the likelihood level.
a	prior shape value for inverse gamma.
b	prior SCALE value for inverse gamma.
mu	mean vector for multivariate normal.
R	correlation matrix for multivariate normal.
R_inv	scaled precision matrix, alternative specification to R.

wzhorton/ramses documentation built on May 17, 2019, 1:03 p.m.