What is the best package for fitting a model where both the mean and the
variance are latent variables? I'm trying to model skew that arises from
correlation, i.e., a positive correlation between mean and variance causes
positive skew.

For example,

m ~ a_m + b_m . x + e_m
s ~ a_s + b_s . x + e_s
y ~ N(m, s)
cov(e_m, e_s) > 0, and m and s are not directly observable.

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