Mercurial > hg > camir-aes2014
annotate toolboxes/FullBNT-1.0.7/KPMstats/matrix_T_pdf.m @ 0:e9a9cd732c1e tip
first hg version after svn
| author | wolffd |
|---|---|
| date | Tue, 10 Feb 2015 15:05:51 +0000 |
| parents | |
| children |
| rev | line source |
|---|---|
| wolffd@0 | 1 function p = matrix_T_pdf(A, M, V, K, n) |
| wolffd@0 | 2 % MATRIX_T_PDF Evaluate the density of a matrix under a Matrix-T distribution |
| wolffd@0 | 3 % p = matrix_T_pdf(A, M, V, K, n) |
| wolffd@0 | 4 |
| wolffd@0 | 5 % See "Bayesian Linear Regression", T. Minka, MIT Tech Report, 2001 |
| wolffd@0 | 6 |
| wolffd@0 | 7 [d m] = size(K); |
| wolffd@0 | 8 is = 1:d; |
| wolffd@0 | 9 c1 = prod(gamma((n+1-is)/2)) / prod(gamma((n-m+1-is)/2)); |
| wolffd@0 | 10 c2 = det(K)^(d/2) / det(pi*V)^(m/2); %% pi or 2pi? |
| wolffd@0 | 11 p = c1 * c2 * det((A-M)'*inv(V)*(A-M)*K + eye(m))^(-n/2); |
| wolffd@0 | 12 |