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I need to update the failure rate (given as deterministic) based on new rate of failure about the same system (it is a deterministic one too). I read about conjugate priors and Gamma distribution as a conjugate for the Poisson process.

Also, I can equate the mean value of Gamma dist. ($\beta/\alpha$) to the new rate (as a mean value) but I do not have any other information such as standard deviation, Coefficient of Variation, 90th percentile value,...etc. Is there a magic way to manipulate that and find parameters for the prior Gamma hence I get the posterior which Gamma too?

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    $\begingroup$ Your question is not clear. Could you please edit the text and add a bit more context? $\endgroup$
    – user28
    Sep 15, 2010 at 3:25
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    $\begingroup$ ... and maybe a better topic? $\endgroup$
    – user88
    Oct 5, 2010 at 10:52
  • $\begingroup$ I attempted to make it a better title; feel free to change it to something more appropriate $\endgroup$ Nov 4, 2010 at 6:25
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    $\begingroup$ @CharlieParker - you are asking a different question than the OP; please don't modify the OP's question and bounty it! You should ask your own question. $\endgroup$
    – jbowman
    Feb 23 at 3:57
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    $\begingroup$ @CharlieParker - a quick search for "Gamma distribution conjugate prior" turns up stats.stackexchange.com/questions/262570/… $\endgroup$
    – jbowman
    Feb 23 at 3:59

2 Answers 2

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I believe M. Tibbit's answer refers to the general case of a gamma with unknown shape and scale. If the shape α is known and the sampling distribution for x is gamma(α, β) and the prior distribution on β is gamma(α0, β0), the posterior distribution for β is gamma(α0 + nα, β0 + Σxi). See this diagram and the references at the bottom.

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  • $\begingroup$ Couldn't you just simulate the posterior Gamma distribution from the full conditionals defined by the conjugate priors of the Gamma alpha and beta respectively? Thanks. $\endgroup$ Sep 4, 2013 at 1:20
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A Gamma distribution is not a conjugate prior for a Gamma distribution. There is a conjugate prior for the Gamma distribution developed by Miller (1980) whose details you can find on Wikipedia and also in the pdf linked in footnote 6. Checkout section 3.2 on page 25 of this paper, there is a prior with four parameters: p, q, r, & s

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