Mercurial > hg > camir-aes2014
diff toolboxes/FullBNT-1.0.7/KPMstats/matrix_normal_pdf.m @ 0:e9a9cd732c1e tip
first hg version after svn
| author | wolffd |
|---|---|
| date | Tue, 10 Feb 2015 15:05:51 +0000 |
| parents | |
| children |
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--- /dev/null Thu Jan 01 00:00:00 1970 +0000 +++ b/toolboxes/FullBNT-1.0.7/KPMstats/matrix_normal_pdf.m Tue Feb 10 15:05:51 2015 +0000 @@ -0,0 +1,9 @@ +function p = matrix_normal_pdf(A, M, V, K) +% MATRIX_NORMAL_PDF Evaluate the density of a matrix under a Matrix-Normal distribution +% p = matrix_normal_pdf(A, M, V, K) + +% See "Bayesian Linear Regression", T. Minka, MIT Tech Report, 2001 + +[d m] = size(K); +c = det(K)^(d/2) / det(2*pi*V)^(m/2); +p = c * exp(-0.5*tr((A-M)'*inv(V)*(A-M)*K));