Gamma Conjugate Prior & Poisson Process

I am analyzing daily data transaction data.

I am assuming that

• The number of transactions in every day of length t has the Poisson distribution with mean λt
• The number of transactions in evert collection of disjoint days are independent

Xi = {number of transactions on day i}
And thus, X~Poisson(λ) where λ is the mean number conversions per day.

I want to take a Bayesian approach - specifically, as I get more days of data, I want to update λ with the conjugate prior distribution to the Poisson, Gamma.

What are the parameters of this Gamma distribution and how do they relate to the Poisson process?

Your prior is $$\lambda\sim\mathcal G(a, b)$$, i.e. $$\pi(\lambda)\propto \lambda^{a-1}e^{-b\lambda}.$$
$$\begin{eqnarray} \pi\left(\lambda|X_1,\ldots,X_n\right) &\propto& \lambda^{a-1}e^{-b\lambda} \prod_{i=1}^n e^{-\lambda}\frac{\lambda^{X_i}}{X_i!} \\ &\propto& \lambda^{a-1}e^{-b\lambda} e^{-n\lambda}\lambda^{\sum X_i}\\ & \propto&\lambda^{a+\sum X_i -1} e^{-\lambda(b+n)} \end{eqnarray}$$
and so the posterior is $$\lambda|X_1,\ldots, X_n \sim \mathcal G\left(a+\sum X_i, b+n\right)$$.
• is there anyway, that $\mathcal G\left(a+\sum X_i, b+n\right)$ can be persented as this $\mathcal G\left(a+\sum X_i, b/(nb+1)\right)$, because I have been asked a question in an assignment about this, and I can only get the posterior you get. – Bucephalus Sep 23 '18 at 11:19