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The Gamma-Poisson cousin

Asked at Jane Street

You model an event rate λ\lambda (events per hour) with a prior λGamma(α,β)\lambda \sim \text{Gamma}(\alpha, \beta), where α\alpha counts prior events and β\beta counts prior hours, so the prior mean is α/β\alpha/\beta. Take α=2\alpha = 2 and β=1\beta = 1 (prior mean 22 per hour). You then observe 1818 events over 66 hours.

What is the posterior, its mean, and how does it compare to the raw rate?

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