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Gamma Poisson Mixture with finite Gamma

  1. Nov 30, 2012 #1
    Dear all

    I am working with a Gamma-Poisson mixture distribution where (and this is not usual) the support of the Gamma distribution (in fact, I am able to restrict to the neg exponential instead of the Gamma...) is finite, e.g. [0,1].
    I would like to derive the mean and a Likelihood function.

    Normally, you end up with a negative binomial distribution for the above mixture, i.e. mean and Likelihood are straightforward.
    But due to the finite support I end up with an incomplete gamma function in my expressions and I am not able to solve the integral "nicely" and give a closed expression for the mean.

    My question: Do you have any experience with such a right truncated gamma poisson mixture? Or any hints where I could find some similar computations that could be helpful?

    Many thanks in advance,
    regards

    Arde
     
  2. jcsd
  3. Dec 1, 2012 #2
    It begs the question, do you *have* to use a truncated distribution? Other models for the Poisson frequency such as uniform, triangular or beta might be easier to work with.

    Either way you may need numerical methods for integration and/or optimisation, which itself is not a problem, but the complicated normalisation constants in truncated distributions tend to make the calculations all the more unstable.
     
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