where, in this notation, the distribution-names should be interpreted as meaning the density functions of those distributions.
Within this scale mixture, the scale's mixing distribution (an exponential with a gamma-distributed rate) actually is a Lomax distribution.
Applications[]
The distribution has heavy tails and a sharp peak[1] at and, because of this, it has applications in variable selection.
See also[]
Compound probability distribution
Lomax distribution
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