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This relies on Kevin Murphy's 2007 paper. However, it looks like he specifies the t distribution in terms of the variance, rather than standard deviation. So you derive the wrong variance as a result. It should be something like beta * (1 + 1 / lambda) / (alpha - 1).
The text was updated successfully, but these errors were encountered:
I am looking at your documentation for the variance of the posterior predictive of the normal inverse gamma available here:
https://gnpalencia.org/cprior/formulas_models_normal.html
This relies on Kevin Murphy's 2007 paper. However, it looks like he specifies the t distribution in terms of the variance, rather than standard deviation. So you derive the wrong variance as a result. It should be something like beta * (1 + 1 / lambda) / (alpha - 1).
The text was updated successfully, but these errors were encountered: