Creates an object representing a Normal-ExpGamma distribution. If (x,y) has a Normal-ExpGamma
distribution, then the marginal distribution of y is an ExpGamma distribution, and the conditional
distribution of x given y is normal.
Usage
normalexpgamma(mu, kappa, alpha, beta)
Arguments
mu
The mu parameter.
kappa
The kappa parameter.
alpha
The alpha parameter.
beta
The beta parameter.
Details
If (x,y) has a Normal-ExpGamma distribution with parameters μ, κ,
α, and β, then the marginal distribution of y has an ExpGamma
distribution with parameters α, β, and -2, and conditionally on y,
x has a normal distribution with expectation μ and logged standard deviation
κ + y. The probability density is proportional to