this post was submitted on 17 May 2025
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[–] toastmeister@lemmy.ca 2 points 2 weeks ago

To make this more precise, we say that original data follows a normal distribution 

collapsed inline media{\displaystyle X^{0}\sim {\mathcal {N}}(\mu ,\sigma ^{2})}
, and we possess 
collapsed inline media{\displaystyle M\_{0}}
 samples 
collapsed inline media{\displaystyle X\_{j}^{0}}
 for 
collapsed inline media{\displaystyle j\in {\\{\\,1,\dots ,M\_{0}\\,{}\\}}}
. Denoting a general sample 
collapsed inline media{\displaystyle X\_{j}^{i}}
 as sample 
collapsed inline media{\displaystyle j\in {\\{\\,1,\dots ,M\_{i}\\,{}\\}}}
 at generation 
collapsed inline media{\displaystyle i}
, then the next generation model is estimated using the sample mean and variance:

collapsed inline media{\displaystyle \mu \_{i+1}={\frac {1}{M\_{i}}}\sum \_{j}X\_{j}^{i};\quad \sigma \_{i+1}^{2}={\frac {1}{M\_{i}-1}}\sum \_{j}(X\_{j}^{i}-\mu \_{i+1})^{2}.}

Leading to a conditionally normal next generation model 

collapsed inline media{\displaystyle X\_{j}^{i+1}|\mu \_{i+1},\\;\sigma \_{i+1}\sim {\mathcal {N}}(\mu \_{i+1},\sigma \_{i+1}^{2})}
. In theory, this is enough to calculate the full distribution of 
collapsed inline media{\displaystyle X\_{j}^{i}}
. However, even after the first generation, the full distribution is no longer normal: It follows a variance-gamma distribution.