setu.analytical_marginal_log_prob

setu.analytical_marginal_log_prob(x, prior_mean, prior_cov, shift, likelihood_cov)

Compute analytical log p(x) for linear Gaussian.

p(x) = N(x; prior_mean + shift, prior_cov + likelihood_cov)

Parameters:

• x (Array) – Observation (dim,)

• prior_mean (Array) – Prior mean (dim,)

• prior_cov (Array) – Prior covariance (dim, dim)

• shift (Array) – Mean shift (dim,)

• likelihood_cov (Array) – Likelihood covariance (dim, dim)

Return type:

Array

Returns:

Log probability (scalar)