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2843概率困难derivationmedium

Gamma-Poisson Mixing Produces Negative Binomial Counts

题目

A latent intensity Λ\Lambda is Gamma(α,β)\mathrm{Gamma}(\alpha,\beta) with shape α\alpha and rate β\beta. Conditional on Λ\Lambda, the count NN is Poisson(Λ)\mathrm{Poisson}(\Lambda). Use MGFs to identify the unconditional distribution of NN.

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