# Dirichlet-Gamma-Poisson mixture distribution, or something like that?

**URL:** <https://discourse.mc-stan.org/t/dirichlet-gamma-poisson-mixture-distribution-or-something-like-that/20378>\
**Category:** Modeling\
**Created:** [January 22, 2021, 3:33pm UTC](https://discourse.mc-stan.org/t/dirichlet-gamma-poisson-mixture-distribution-or-something-like-that/20378 "2021-01-22T15:33:17Z")\
**Posts on this page:** 1\
**Showing post:** 8

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**Author:** ![martinmodrak](https://yyz2.discourse-cdn.com/flex030/user_avatar/discourse.mc-stan.org/martinmodrak/32/133_2.png) [@martinmodrak](https://discourse.mc-stan.org/u/martinmodrak)\
**Post date:** [January 29, 2021, 9:14pm UTC](https://discourse.mc-stan.org/t/dirichlet-gamma-poisson-mixture-distribution-or-something-like-that/20378/8 "2021-01-29T21:14:57Z")

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> [@tomli](#):
>
> I do however need an expression to evaluate ^K\hat K , at least to solve my larger problem (of which the focal issue is a part) in the neat way that I’d like. Sorry about being vague about this.

I fear vagueness could cost us a lot of wasted effort here. What do you mean by “evalute \hat K”? Because being able to draw from distribution of \hat K given all the other parameters is IMHO much easier than evaluating the log-mass of an observed \hat K value given the other parameters. Do you really need both? In other words: do you need to use \hat K as a source of information? Or is it simply a derived characteristic you would like to compute after extracting information from the K\_i? Or do you just want to do cross-validation against a held-out part of the dataset? Or is there something else you need?

> [@tomli](#):
>
> From the general formula to work out a distribution F(Y)F\left( Y \right) of a transformed variable Y=h(X)Y = h\left( X \right) ,

I don’t think I follow what you are trying to accomplish here… My reasoning was really very simple (but maybe I didn’t explain it very well): since we end up building the neg.binomial by matching the mean and variance of the sum, we might as well just work with mean and co-variance all the way.

So assuming \phi = 0 for simplicity, we get

\rm{E}(\hat K) = \rm{E}(\sum \nu\_i) = \rm{E}(\sum \mu x\_i) = \mu \\ \rm{Var}(\hat K) = \sum \rm{Var}(K\_i) + 2 \sum\_{1 \< i \< j \< Q} \rm{Cov}(K\_i, K\_j) = \\ = \sum \mu x\_i + \sum \frac{\mu^2 x\_i^2}{\alpha} + 2 \sum\_{1 \< i \< j \< Q} \rm{Cov}(K\_i, K\_j) \\

The covariance terms are tricky and I don’t see any immediate way to compute them but if Q is large, the covariance terms will be small-ish. We could also probably approximate \rm{Cov}(K\_i, K\_j) \approx \rm{Cov}(\nu\_i, \nu\_j) = \rm{Cov}(\mu x\_i, \mu x\_j) = \mu^2 \rm{Cov}(x\_i, x\_j) = \mu^2 \frac{-a^2}{(Qa)^2(Qa + 1)}. I hope the generalization to other values of \phi doesn’t present any additional big challenges.

Assuming \hat K is roughly NB, the mean and variance are then enough to fully describe the distribution. Obviously a simulation study should be run to check the approximation is OK-ish.

But I note once again, that this is only needed if we need to evalute the mass of specific, observed \hat K given the parameters.

> [@tomli](#):
>
> I also tried another approach, starting from your assumption that unobserved segment lengths are exponentially distributed.

I honestly also didn’t completely understand the logic of this one, but I _think_ I can follow the rough directions. (Note: I am not so good at math, despite possibly looking confident). I think trying to find the moments is sensible. Anyway, I can recommend Wolfram alpha (or Wolfram Cloud for more advanced uses) for solving integrals. Even the free versions can definitely solve integrals I am completely unable to crack :-). I can however see how you could (if Q is large-ish) assume that Q is roughly gamma distributed and treat it as additional parameter in the model…

But the point of assuming the exponential distribution was that you can simulate \hat K under this assumption very easily and you can easily do cross-validation against a held-out set of K\_i values. However, I don’t think it lets you compute the mass for an observed \hat K in any easy way.

**EDIT:** I’ve been mixing density and mass in the post, so tried to fix that.

Hope I am making sense - maybe my proposals don’t work and I am overseeing some basic problem, so please treat my suggestions with some skepticism.

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