iid

Z i ∼ Pθ i = 1, . . . , N
θ
Z
!
Z ∈ Z = {z1 , z2 , . . . , zJ } J
J

!
Zi = (X1i , X2i , X3i , Yi )
X1i ∈ {0, 1} X2i ∈ {0, 1 . . . , 20}
X3i ∈ {1, 2, . . . , 100}
Yi ∈ {0, 1, 2, . . . , 88, 000}
J = 2 × 21 × 100 × 88, 001 = 369, 604, 200

Z j th Z zj ;

( Z = zj | θ) = θj , j = 1, . . . , J,
!
θ = (θ1 , . . . , θJ )
Z Z
Z (J − 1)

 
 J
$ 
Θ = SJ−1 = θ = (θ1 , . . . , θJ ) ∈ RJ : θj ≥ 0, θj = 1 .
 
j=1
 R3

2
!
R3 . α = (1.1, 1.1, 1.1) θ =
!
(θ1 , θ2 , θ3 )

Θ
Θ
J =3
Zi Z = z1
Z = z2 Z = z3
Z

( Z = z1 | θ) + ( Z = z2 | θ) + ( Z = z3 | θ) = θ1 + θ2 + θ3 .
!
θ = (θ1 , θ2 , θ3 ) 2
R3

θ1
θ2 θ3
!
Z θ = (θ1 , θ2 , θ3 )

!
θ = (θ1 , θ2 , θ3 )

!
θ = (θ1 , θ2 , θ3 )
θ
 θ
θ

Θ 2
Θ
(J − 1)

() * 
J
Γ j=1 α j .J
α −1
π (θ1 , . . . , θJ ) = +J  θj j 
j=1 Γ (αj ) j=1

θ ∈ Θ = SJ−1
!
α = (α1 , . . . , αJ ) J =2

2
!
α = (1.1, 1.1, 1.1) α
!
α = (1, 1, 1)
2

J
{Wj }j=1 J Wj ∼ (αj , 1) .
J
$
Vj = Wj / Wj .
j=1

(V1 , . . . , VJ )
!
α = (α1 , . . . , αJ )
 1 t=∞
Γ (x) = tx−1 (−t) t,
t=0

x>0
u (t) = tx v (t) = − (−t)
1 t=b 1
x x b
t (−t) t = [−t (−t)]a +x tx−1 (−t) t.
t=a

a→0 b→∞ Γ (x + 1) = xΓ (x)

Γ (1) = 1 = 0!
Γ (2) = 1 · Γ (1) = 1!
Γ (3) = 2 · Γ (2) = 2!
Γ (4) = 3 · Γ (3) = 3!

α
β X=x

β α xα−1 (−βx)
f (x; α, β) =
Γ (α)

x>0
X
α α
E [X] = , V (X) = 2 .
β β

Xj ∼ (αj , β) ,

j = 1, . . . , J
 
J
$ $J
Xi ∼  αj , β  .
j=1 j=1

α=1 7ν 8
β X ∼ 2,2 , X
χ2ν
 )J
U = j=1 Wj Wj = U V j j =
(
)J−1 * !
1, . . . , J −1 WJ = U 1 − j=1 Vj = (V1 , . . . , VJ−1 )
! !
(U, )
 ∂W1 ∂W1 ∂W1   
∂U ∂V1 ··· ∂VJ−1 V1 U ··· 0
   
   
 = ,
 ∂WJ−1 ∂WJ−1 ∂WJ−1   VJ−1 0 ··· U 
 ∂U ∂V1 ··· ∂VJ−1  )J−1
∂WJ ∂WJ
··· ∂WJ 1− j=1 Vj −U ··· −U
∂U ∂V1 ∂VJ−1

U J−1
!
= (W1 , . . . , WJ )
J
. α −1 (−wj )
f ( ; α) = wj j .
j=1
Γ (αj )

V1 , . . . , VJ−1 , U
J−1
. αj −1 (−uvj )
f (v1 , . . . , vJ−1 , u; α) = (uvj )
j=1
Γ (αj )
  ( ( 
αJ −1 )J−1 **
 
J−1
$ −u 1 − j=1 vj 
×  u 1− vj  ×u
J−1

j=1
Γ (αJ )
  αJ −1
J−1
. J−1
$
1  α −1  
= +J vj j 1− vj 
j=1 Γ (αj ) j=1 j=1
  
!J J−1
$ J−1
$
× u( j=1 αj −1)+N −1 −u v j − u 1 − v j 
j=1 j=1
  αJ −1
J−1
. J−1
$
1  α −1
= +J vj j  1 − vj 
j=1 Γ (αj ) j=1 j=1
!J
× u( j=1 αj )−1 (−u) .
 u V1 , . . . , VJ−1
1
f (v1 , . . . , vJ−1 ; α) = f (v1 , . . . , vJ−1 , u; α) u
  αJ −1
J−1
. J−1
$
1  α −1
= +J vj j  1
− vj 
j=1 Γ (α j ) j=1 j=1
1 !J
× u( j=1 αj )−1 (−u) u
() *  αJ −1
J
Γ j=1 αj
J−1
. α −1 J−1
$
= +J  vj j  1 − vj  ,
j=1 Γ (α j ) j=1 j=1
2∞
Γ (α) = 0
uα−1 (u) u.
!
α = (α1 , . . . , αJ )
U U = u = =
!
(v1 , . . . , vJ−1 )
!J
u( j=1 αj )−1
(−u)
f ( u| v1 , . . . , vJ−1 ; α) = () * .
J
Γ j=1 αj

() * U
J
U∼ j=1 αj , 1

)N
Nj = i=1 (Zi = zj )
j th θ

.J
N! N
f ( | θ) = θ j.
N1 ! · · · NJ ! j=1 j

Z = zj
θj

θ =
θ

f ( | θ) π (θ)
π ( θ| ) = 2 ,
f ( | θ) π (θ) θ
 +J Nj +αj −1
j=1 θj
π ( θ| ) = 2 +J Nj +αj −1
.
SJ−1 j=1 θj θ1 · · · θJ

1 J +J
. N +α −1 Γ (Nj + αj )
θj j j θ1 · · · θJ = (j=1
) *
J
SJ−1 j=1 Γ Nj + α j
j=1

 () J *
Γ j=1 Nj + αj .J
N +α −1
π ( θ| ) =  +J  θj j j .
j=1 Γ (N j + α j ) j=1

!
α = (α1 , . . . , αJ ) Z = z1 , Z =
z2 , . . . , Z = zJ

)J α +Nj ᾱj
ᾱj = αj +Nj j = 1, . . . , J ᾱ0 = ᾱj θ̄j = !J j =
j=1 ᾱ0
j=1 αj +Nj
θ
 
θ̄1
 
E [ θ| = ; α] =  ,
θ̄J
= θ̄.

 7 8 
θ̄1 1 − θ̄1 ··· −θ̄1 θ̄J
1  
V ( θ| = ; α) =  .
1 + ᾱ0 7 8
−θ̄J θ̄1 ··· θ̄J 1 − θ̄J
1 = > ? @
= θ̄ − θ̄θ̄! .
1 + ᾱ0
 A B
x+y (x+y)!
= x!y! .
x

Γ (x) Γ (y)
β (x, y) = .
Γ (x + y)

1 t=∞ 1 s=∞
Γ (x) Γ (y) = tx−1 (−t) sy−1 (−s) s t.
t=0 s=0

s = tu
1 t=∞ 1 u=∞
Γ (x) Γ (y) = tx−1 (−t) ty−1 uy−1 (−tu) · t · t
t=0 u=0
1 t=∞ 1 u=∞
= tx+y−1 uy−1 (−t (1 + u)) · t.
t=0 u=0

v = t (1 + u)
1 v=∞ 1 Bx+y−1
u=∞ A
v
Γ (x) Γ (y) = uy−1 (−v) · (1 + u) ·
v=0 u=0 1+u
1 v=∞ 1 u=∞
v x+y−1 y−1
= x+y u (−v) ·
v=0 u=0 (1 + u)
1 u=∞
uy−1
= Γ (x + y) x+y u.
u=0 (1 + u)

u = θ/ (1 − θ)
( *y−1
1 θ=1 θ
1−θ
Γ (x) Γ (y) = Γ (x + y) ( *x+y θ
θ=0 1+ θ ( − θ)
1−θ
1 θ=1
x−1
= Γ (x + y) θy−1 (1 − θ) θ,
θ=0

1 θ=1
Γ (x) Γ (y) x−1
β (x, y) = = θy−1 (1 − θ) θ.
Γ (x + y) θ=0
 αj = 0 j = 1, . . . , J

Vj
J
$
F (z; ) = Vj (zj ≤ z) .
j=1

)J
Vj = Wj / j=1 Wj Wj ∼ G (Nj , 1)
Nj j th Z
)N
Wi∗ ∼ G (1, 1) Vi∗ = Wi∗ / ∗
i=1 Wi

N
$
∗
FN (z; ) = Vi∗ (Zi ≤ z)
i=1
N
$ J
$
= Vi∗ (Zi = zj ) (zj ≤ z)
i=1 j=1
J
CN D
$ $
= (Zi = zj ) Vi∗ (zj ≤ z)
j=1 i=1
J
$
∼ Vj (zj ≤ z)
j=1

= F (z; ) ,
)N
Vj ∼ i=1 (Zi = zj ) Vi∗
Vj Nj = 0

Y X

 −1  
J
$ J
$
β( )= Vj xj x!j  × Vj x j yj  .
j=1 j=1
 E N
F−1 E N
F
$ $
∗
β( )= Vi∗ Xi Xi! × Vi∗ Xi Yi ,
i=1 i=1

∗ !
= (V1∗ , . . . , VN∗ )

N G (1, 1)
∗
(s)
( * G) H−1 G) H
∗ N ∗ N
β (s) = i=1 V(s),i Xi Xi! × i=1
∗
V(s),i Xi Yi .

s = 1, . . . , S S ≥ 1, 000
β
S

0.1086 0.1087
(0.010) (0.010)
[0.090, 0.128] [0.090, 0.128]
0.0071 0.0071
(0.001) (0.001)
[0.005, 0.009] [0.005, 0.009]

S
Z