ParameterMixtureDistribution

ParameterMixtureDistribution[dist[θ], θ \[Distributed] wdist] represents a parameter mixture distribution where the parameter θ is distributed according to the weight distribution wdist.

• ParameterMixtureDistribution[dist[θ1, θ2, ...], {θ1 \[Distributed] wdist1, θ2 \[Distributed] wdist2, ...}] represents a parameter mixture distribution where each parameter has its own weight distribution.

Examples

dist = ParameterMixtureDistribution[
  NormalDistribution[μ, 1], μ \[Distributed] NormalDistribution[0, 1]
]

Mean[dist]

Please visit the official Wolfram Language Reference for more details.