User:Paulpeeling/Sandbox

Stubs

• Generalized gamma distribution
• Scale mixture of normals
• Probability hypothesis density filter
• Variable rate particle filter

Scratchpad

Conjugate prior of a Gamma distribution when $n\neq 1$

$p(\beta )\propto \beta ^{\alpha _{0}-1}\exp(\beta \beta _{0})\prod _{n}\left(\exp(x_{n}\beta )\beta ^{\alpha }\right)$ $\propto \beta ^{\alpha _{0}+n\alpha -1}\exp \left(\beta \left(\beta _{0}+\sum _{n}x_{n}\right)\right)=\Gamma \left(\alpha _{0}+n\alpha ,\beta _{0}+\sum _{n}x_{n}\right)$

The Kullback-Leibler divergence between inverse-gamma distributions with scale parameterization is the same as that for Gamma distributions with inverse-scale parameterization.