Gaussian scale mixture
= Gaussian scale mixture
{c}
{title2=$X=RZ$}
A Gaussian scale mixture is a <random variable> $X=RZ$, where $Z$ has a <standard normal distribution> and is independent of a positive random scale $R$. Its <probability density function> is the average of the conditional normal densities. Random scales can produce larger <kurtosis> than a single normal law.