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diff toolboxes/FullBNT-1.0.7/KPMstats/matrix_T_pdf.m @ 0:cc4b1211e677 tip

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initial commit to HG from Changeset: 646 (e263d8a21543) added further path and more save "camirversion.m"
author Daniel Wolff
date Fri, 19 Aug 2016 13:07:06 +0200
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--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/toolboxes/FullBNT-1.0.7/KPMstats/matrix_T_pdf.m	Fri Aug 19 13:07:06 2016 +0200
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+function p = matrix_T_pdf(A, M, V, K, n)
+% MATRIX_T_PDF Evaluate the density of a matrix under a Matrix-T distribution
+% p = matrix_T_pdf(A, M, V, K, n)
+
+% See "Bayesian Linear Regression", T. Minka, MIT Tech Report, 2001
+
+[d m] = size(K);
+is = 1:d;
+c1 = prod(gamma((n+1-is)/2)) / prod(gamma((n-m+1-is)/2));
+c2 = det(K)^(d/2) / det(pi*V)^(m/2); %% pi or 2pi?
+p = c1 * c2 * det((A-M)'*inv(V)*(A-M)*K + eye(m))^(-n/2);
+