[feature request] inverse gamma prior on the measurement noise

[SimonEnsemble]

hi! I'm looking for an implementation of the version of Bayesian linear regression where we can place an inverse gamma prior on the variance of the measurement noise and [as it looks like here] a Gaussian prior on the weight vector. then, the posterior has an analytical form. see eqns. 9-12 here. please let me know if this is already in this package and I am missing it, or if there is another package in Julia for this. thanks!

[willtebbutt]

This would indeed be something that would be good to have. We don't have it in this package at this point, but I would definitely be open to a proposal

[mschauer]

If you find this tedious to work out because of different parametrisations and notations here it is already in Julia https://discourse.julialang.org/t/seven-lines-of-julia-examples-sought/50416/26?u=mschauer