<p dir="auto"><strong>Is your feature request related to a problem? Please describe.</strong></p>
<p dir="auto">This is a feature request for Normal-inverse-gamma distribution support at <code class="notranslate">scipy.stats</code> subpackage.</p>
<p dir="auto">I will implement and open a pull request if approved.</p>
<p dir="auto"><strong>Describe the solution you'd like</strong></p>
<p dir="auto">Normal-inverse-gamma distribution distribution is the conjugate prior of a Normal distribution with unknown mean and variance [1], which is is commonly used in Bayesian statistics.</p>
<p dir="auto">[1] Murphy, Kevin. (2007). Conjugate Bayesian analysis of the Gaussian distribution.</p>
<p dir="auto"><strong>Describe alternatives you've considered</strong></p>
<p dir="auto"><strong>Additional context (e.g. screenshots)</strong></p>
<p dir="auto">Right now the <a href="https://en.wikipedia.org/wiki/Normal-inverse-gamma_distribution" rel="nofollow">Normal-inverse-gamma distribution</a> is missing in <code class="notranslate">scipy.stats</code>. I think it qualifies as useful addition since it is the <a href="https://en.wikipedia.org/wiki/Conjugate_prior" rel="nofollow">conjugate prior</a> of the normal distribution in case mean and variance are unknown. Therefore the Normal-inverse-gamma distribution is important for Bayesian inference which has been for years and still is a trending topic in the domain of data science.</p>