When we fit a negative binomial (in the mean rate and dispersion parameter parameterization as opposed to the one with a precision parameter) data to counts, we can either do that using the negative binomial likelihood or equivalently with a Poisson likelihood plus a gamma distributed random subject effect. The latter formulation is how we can deal with multiple (correlated) observations for different time periods per subject that differ in some covariates (so that you cannot just add up the number of events and follow-up time).

I leave out the covariates in what follows below, because it’s does not seem that important in terms of how to parametrize the model (feel free to disagree), because I suspect it matters the most how I implement the random subject effect. I am wondering: Is there some clever way of parametrizing the random effects distribution akin to the centralized vs. non-centralized parametrization for normally distributed random effects?

I already noticed that for

random_patient_effect ~ gamma(1/kappa, 1);

aval ~ poisson_log( logmu + log(random_patient_effect) + log(kappa) + log_follow_up);

I get some issues *“1: There were 2 chains where the estimated Bayesian Fraction of Missing Information was low. See http://mc-stan.org/misc/warnings.html#bfmi-low 2: Examine the pairs() plot to diagnose sampling problems”*. However, the this is the best, I got, at all (and even seems to do better than the straightforward negative binomial likelihood, see below). At least this issue is presumably more benign than some (and possibly can be handled with more warm-up samples?).

Things are much worse, if I go for

random_patient_effect ~ gamma(1/kappa, 1/kappa);

in the above, which results in lots of divergent transitions, issues with the tree-depth and things like " Log rate parameter[xxx] is 1.#QNAN". Similarly, if I just have a single record per patient, then the below

aval ~ neg_binomial_2_log( logmu + log_follow_up, 1/kappa);

has problems (and can only be used for a single observation per subject) such as divergent transitions and “neg_binomial_2_log_lpmf: Precision parameter is 1.#INF, but must be finite”.

However, even if I hand-code the pdf for a gamma distributed random variable after log-transformation (see code below), I wonder whether I could parameterize this all more cleverly to improve sampling.

I realize that a normally distributed random effect could be an alternative (after all the log-normal distribution is somewhat similar to the gamma distribution), but it would be an easier sell to go with the model more closely related to the negative binomial model that people in the field are familiar with.

Here is how I am implementing this model at the moment. Any suggestions for improvements, efficiency gains and especially better parametrization would be most welcome. NB: For anyone trying this at home: providing Stan reasonable initial values are crucial for making any of this work (once you do the explicit random patient effect).

functions {

// PDF for a vector of log-transformed i.i.d. gamma distributed random variables

real loggammadist_lpdf(vector y, real alpha, real beta){

return sum(betay-exp(y-log(alpha)) - betalog(alpha) - lgamma(beta));

}

}data {

int<lower=1> nrecords;

int<lower=0> aval[nrecords];

real<lower=0> follow_up[nrecords];

}transformed data {

vector[nrecords] log_follow_up;

for (r in 1:nrecords) {

log_follow_up[r] = log(follow_up[r]);

}

}parameters {

real logmu;

real<lower=0> kappa;

vector[nrecords] random_patient_effect;

}model {

logmu ~ student_t(4, 0, 2.3);

kappa ~ student_t(4, 0, 2.3);

random_patient_effect ~ loggammadist(1/kappa, 1/kappa);aval ~ poisson_log( logmu + random_patient_effect + log_follow_up);

}