 Gaussian change-point Gibbs updates

For independent means $\theta \sim N({\mu }_{\theta },t_{\theta })$ and $\varphi \sim N({\mu }_{\varphi },t_{\varphi })$, the first mean's conditional precision is $m/v+1/t_{\theta }$ and conditional precision-weighted mean is ${\sum }_{i\le m}{x}_i/v+{\mu }_{\theta }/t_{\theta }$; replace $m$ by $n-m$ for the second mean. With $v\sim \mathrm{IG}(a_0,b_0)$ its conditional law is $\mathrm{IG}(a_0+n/2,b_0+S_m/2)$. The discrete split has conditional probabilities proportional to $e^{-S_m/(2v)}$. These full conditional distributions give a Gibbs sampler including $m=n$. Averaging the sampled indicators of that configuration estimates its probability; averaging its conditional probabilities gives an estimate by Rao-Blackwellization.