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November 4, 2019 10:44
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tweedie in stan
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data { | |
int <lower=1> N; // Sample size | |
int <lower=1> M; // m ~ poison(lambda) | |
real<lower=0> Y[N]; // outcome and each Yi=x1+x2+...+xm , and each xi ~ Gamma(alpha,gama) so Y|m ~ Gamma(m*alpha,gama) | |
} | |
parameters { | |
real<lower=0> mu; | |
real<lower=0> phi; | |
real<lower=1, upper=2> p; | |
} | |
transformed parameters { | |
real lambda = mu^(2-p)/(phi*(2-p)); | |
real alpha = (2-p)/(p-1); | |
real gama = 1/phi*mu^(1-p)/(p-1); | |
} | |
model { | |
mu ~ cauchy(0, 5); | |
phi ~ cauchy(0, 5); | |
for (n in 1:N) { | |
if (Y[n] == 0) { | |
target += -lambda; | |
} else { | |
vector[M] ps; | |
for (m in 1:M) | |
ps[m] = poisson_lpmf(m | lambda) + gamma_lpdf(Y[n] | m*alpha, gama); | |
target += log_sum_exp(ps); | |
} | |
} | |
} |
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Should I consider “M” as a fixed value regarding to the data (like this codes) or it should be a random variable with Poisson distribution in the model? In each of the cases how should I write the codes? And how should I do this?
I appreciate any suggestion and help.
Thanks a lot.