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view toolboxes/FullBNT-1.0.7/KPMstats/matrix_normal_pdf.m @ 0:e9a9cd732c1e tip

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first hg version after svn
author wolffd
date Tue, 10 Feb 2015 15:05:51 +0000
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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));