update_normal_normal: Conjugate Multivariate Normal - Multivariate Normal Update

In wzhorton/ztools: Tools by wzhorton

Description

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

Argument Model:
y ~ Nn(X*beta, Sig)
beta ~ Np(mu, V)

Usage

update_normal_normal(y, X, mu, Sig, V, Sig_inv, V_inv)

Arguments

y	vector of values at the likelihood level.
X	fixed design matrix in likelihood.
mu	prior mean vector.
Sig, Sig_inv	likelihood covariance/precision matrix.
V, V_inv	prior covariance/precision matrix.

wzhorton/ztools documentation built on Nov. 8, 2019, 1:28 p.m.