normalexpgamma {lestat}

A Normal-ExpGamma Distribution

Description

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 \mu, \kappa, \alpha, and \beta, then the marginal distribution of y has an ExpGamma distribution with parameters \alpha, \beta, and -2, and conditionally on y, x has a normal distribution with expectation \mu and logged standard deviation \kappa + y. The probability density is proportional to

f(x,y)=\exp(-(2\alpha + 1)y - e^{-2y}(\beta + e^{-2\kappa}(x-\mu)^2/2))

Value

A Normal-ExpGamma probability distribution.

Author(s)

Petter Mostad <[e-mail]>

See Also

gamma, normal, expgamma, normalgamma, mnormal, mnormalgamma, mnormalexpgamma

Examples

plot(normalexpgamma(3,4,5,6))