Adrian Price-Whelan (Flatiron) and I dusted off today our dormant project to write a paper about products of Gaussians. The idea is to provide closed-form refactoring of a product of a Gaussian prior times a Gaussian likelihood into a product of a posterior pdf times a marginalized likelihood. It involves some simple math that I first learned from Sam Roweis (deceased) but which was refined beautifully by Boris Leistedt (Imperial). I can't tell whether this project is really useful, or completely inside baseball. We were originally inspired to write this because of a stupid mistake I made when we built The Joker.
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