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Normal-gamma distribution : ウィキペディア英語版
Normal-gamma distribution
}\,e^\,e^}|
cdf =|
mean =〔Bernardo & Smith (1993, p.434)〕 \operatorname(X)=\mu\,\! ,\quad \operatorname(\Tau)= \alpha \beta^ |
median = |
mode = \left(\mu, \frac\right)|
variance =〔 \operatorname(X)= \frac ,\quad
\operatorname(\Tau)=\alpha \beta^ |
skewness =|
kurtosis =|
entropy =|
mgf =|
char =|
}}
In probability theory and statistics, the normal-gamma distribution (or Gaussian-gamma distribution) is a bivariate four-parameter family of continuous probability distributions. It is the conjugate prior of a normal distribution with unknown mean and precision.〔Bernardo & Smith (1993, pages 136, 268, 434)〕
==Definition==
For a pair of random variables, (''X'',''T''), suppose that the conditional distribution of ''X'' given ''T'' is given by
: X|T \sim N(\mu,1 /(\lambda T)) \,\! ,
meaning that the conditional distribution is a normal distribution with mean \mu and precision \lambda T — equivalently, with variance 1 / (\lambda T) .
Suppose also that the marginal distribution of ''T'' is given by
:T |\alpha, \beta \sim \mathrm(\alpha,\beta) \! ,
where this means that ''T'' has a gamma distribution. Here λ, α and β are parameters of the joint distribution.
Then (''X'',''T'') has a normal-gamma distribution, and this is denoted by
: (X,T) \sim \mathrm(\mu,\lambda,\alpha,\beta) \! .


抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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