• Corpus ID: 235313527

Bayesian Inference for Gamma Models

  title={Bayesian Inference for Gamma Models},
  author={Jingyu He and Nicholas G. Polson and Jianeng Xu},
We use the theory of normal variance-mean mixtures to derive a data augmentation scheme for models that include gamma functions. Our methodology applies to many situations in statistics and machine learning, including Multinomial-Dirichlet distributions, Negative binomial regression, Poisson-Gamma hierarchical models, Extreme value models, to name but a few. All of those models include a gamma function which does not admit a natural conjugate prior distribution providing a significant challenge… 

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