comparison toolboxes/FullBNT-1.0.7/KPMstats/matrix_normal_pdf.m @ 0:cc4b1211e677 tip

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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));