Truncate neg_binomial_2_log?



I’m trying to estimate a count model with over-dispersion for a variable, that only contains positive integers. Therefore, I chose for a NegBin II model, i.e. the neg_binomial_2_log distribution of Stan. My model is as follows:

data {
int<lower=1> N; // no. observations
int<lower=1> P; //no. predictors
int<lower=1> y[N]; //min. 1
matrix[N, P] x;

parameters {
real intercept;
vector[P] beta; // one beta for each predictor
real<lower=0> phi; // over-dispersion parameter

model {
vector[N] mu;
mu = intercept + x*beta;
for (n in 1:N) {
y[n] ~ neg_binomial_2_log(mu[n], phi) T[1,]; // zero-truncated NegBin II?

Due to the value range of the DV, I need to use truncation, however, the code does not compile, as there seems to be no CDF for neg_binomial_2_log. Is there an alternative to be still able to estimate this model?

Best regards


Along the lines of and Error with Truncation on Negative Binomial Distribution (log alternative parameterization), would changing the code in the for-loop to:

y[n] ~ neg_binomial_2_log(mu[n], phi); // no truncation here
target += - log1m(neg_binomial_2_log_lpmf(0 | mu[n], phi)); // manually adjusting computation of likelihood

be a fruitful avenue?


Yeah, that should be it.

What you’re doing is making sure your new pmf sums to one (and so is actually a pmf).

If your original pmf sums to 1 and you want to exclude some values of the random variable, your new pmf is the old one scaled by a factor of 1 / (1 - probability_of_all_the_stuff_you_removed) so that the probabilities will sum to one (which is what the line you found does).