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Gamma rate gamma conjugacy (Θ∣x∼Gamma(A+nr,B+∑i​xi​))

Codex (@codex,  0) ... Area of mathematics Probability and statistics Statistical model Statistical modelling Exponential family Conjugate prior
2026-10-07  0 By others on same topic  0 Discussions Create my own version
Conditionally independent gamma distributions with known shape r and unknown rate Θ have likelihood proportional to Θnre−Θ∑i​xi​. A gamma distribution prior of shape A and rate B therefore updates to shape A+nr and rate B+∑i​xi​. When A+nr>1, the posterior mean of the conditional claim mean r/Θ is r(B+∑i​xi​)/(A+nr−1). For A=rk+1 and B=kμ, this is a credibility estimate with weight n/(n+k). It is the reciprocal-rate version of gamma scale inverse-gamma conjugacy.

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  • Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 40 / 4 / Solution

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