Past exam of the mathematics course of the University of Cambridge / 2014 / iii / Paper 35 / 4 / h / Solution

Conditional on $\mu ,\psi >0$, let $\lambda \sim {\chi }_4^2$ and independently $Z\sim N(0,1)$. The normal distribution with the stated precision parameter can be generated asThereforeby the defining normal distribution and chi-squared distribution representation of Student's t-distribution. Its density isThus $\mu$ is the location and $\psi$ is the scale, not the standard deviation: $\mathrm{Var}({\beta }_j\mid \mu ,\psi )=2{\psi }^2$. Each study gets its own independent chi-squared draw in this Student t random-effect model.