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    Noncentral Hypergeometric Distribution: J S M J M P

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    juntujuntu
    The document describes the noncentral hypergeometric distribution and its properties. It discusses both the univariate and multivariate cases. For the univariate case, it provides the formula for the probability mass function and defines key parameters. It then derives the expectation and variance in terms of these parameters. For the multivariate case, it similarly defines the probability mass function and derives formulas for the conditional expectation and covariance between variables.

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    Noncentral Hypergeometric Distribution: J S M J M P

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    juntujuntu
    36 views6 pages
    The document describes the noncentral hypergeometric distribution and its properties. It discusses both the univariate and multivariate cases. For the univariate case, it provides the formula for the probability mass function and defines key parameters. It then derives the expectation and variance in terms of these parameters. For the multivariate case, it similarly defines the probability mass function and derives formulas for the conditional expectation and covariance between variables.

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    Original Title

    ch5.7

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    The document describes the noncentral hypergeometric distribution and its properties. It discusses both the univariate and multivariate cases. For the univariate case, it provides the formula for the probability mass function and defines key parameters. It then derives the expectation and variance in terms of these parameters. For the multivariate case, it similarly defines the probability mass function and derives formulas for the conditional expectation and covariance between variables.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    36 views6 pages

    Noncentral Hypergeometric Distribution: J S M J M P

    Uploaded by

    juntujuntu
    The document describes the noncentral hypergeometric distribution and its properties. It discusses both the univariate and multivariate cases. For the univariate case, it provides the formula for the probability mass function and defines key parameters. It then derives the expectation and variance in terms of these parameters. For the multivariate case, it similarly defines the probability mass function and derives formulas for the conditional expectation and covariance between variables.

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    Noncentral hypergeometric distribution

    (i) Univariate noncentral hypergeometric distribution There are several ways to derive the univariate noncentral hypergeometric distribution. Source 1 The noncentral hypergeometric distribution with odd ratio is an

    exponentially weighted version of the central hypergeometric distribution. Let Y has a noncentral hypergeometric distribution. Then,

    m1 m 2 y s y 1 P (Y = y | ) = P0 ( )
    where

    m1 m 2 y y s y 1 = b m1 m 2 j s j j=a 1

    P0 ( ) =

    m1 m 2 j j=a s1
    b

    and

    a = max

    (0 , s 1

    m 2 ) y min

    (m 1 , s 1 ) =

    b .

    The distribution arises in the exponentially weighted sampling

    m scheme in which each of the m 1


    proportionally to
    y

    possible samples is weighted

    . We denote

    Y ~ H (m , s ;

    or Y ~ H (s , m ;
    1

    ),

    where

    m = (m 1 , m 2

    and

    s = (s 1 , s 2 ) . Note that

    H (m , s ;1 ) = H (m , s )
    is the central hypergeometric distribution. Source 2 Let Y ~ B (m 1 ,

    ),

    X ~ B (m

    and

    1 1
    2

    .
    2

    Then, the conditional distribution of Y given X + Y = s 1 is the noncentral hypergeometric distribution

    H (m , s ; ) .

    The expectation and variance of obtained as follows. Let

    Y ~ H (m , s ;

    can be

    = log (

    ) . The distribution of

    is

    y f ( y , ) exp log ( ) P 0
    = exp = exp

    {y log ( ) log [P0 ( )]} {y log [P0 ( )]}

    It is the standard form of exponential family. The cumulant generating function

    k (t ) = log P 0 e t + E (Y
    where

    [ (

    )] log [P (e )] P (e )

    0 t +

    )=

    '

    (0 ) =

    P0 e

    ( )
    j

    t=0

    P1 ( P 0 (

    ) )

    P0 e t + t t=0

    b t + e j=a =

    m1 m 2 j s1 t

    j t=0

    = P1 (
    Similarly,

    b m2 j m1 = j e t + j s 1 j=a b m1 m 2 = je j j s j j=a 1 b m1 m 2 = j j j s j j=a 1

    j t=0

    P ( ) P1 ( ) Var (Y ) = k ' ' (0 ) = 2 P0 ( ) P0 ( )


    where

    2 P0 e t + P2 ( ) = = 2 t t=0

    j=a

    m1 m 2 j 2 j j s1

    j .

    (i) Multivariate noncentral hypergeometric distribution Let


    3

    Y = (Y1 , Y2 ,K, Yk ) ~ M (m1 , 1 ), X = ( X 1 , X 2 ,K, X k ) ~ M (m2 , 2 )


    where

    1 = ( 11 , 12 , K , 1 k ) and

    = (

    21

    22

    ,K ,

    2k

    ).

    Then, the conditional distribution of Y given X + Y = s

    is

    m 1 m 2 y1 y 2 yk L k y s y 1 2 P (Y = y | X + Y = s ) = m1 m 2 j1 j 2 jk j s j 1 2 L k j
    where

    1 j 1 j

    2 j 2 j

    The conditional expectation and variance of Y can be derived as follows. The conditional distribution of Y is

    (y

    | s ,

    )=

    P (Y = y | s , log

    k exp y j j =1
    where

    [P 0 ( )]

    = log (

    ) and

    m1 m 2 j = a j s1
    b

    P0 ( ) = P0 ( 1 , 2 , K , k ) =

    j1 1 L kj k j .

    Since it is the standard form of exponential family, the cumulant generating function is

    k (t ) = k (t1 , t 2 , K , t k ) = log P0 e t 1 + 1 , e t 2 + 2 , K , e t k + k
    Then,

    [ (

    )] log [P (e
    0

    , e 2 , K , e k

    )]

    E (Y l

    )=

    P0 e t 1 + 1 , e t 2 + 2 , K , e t k + k tl tl = 0 = P0 e 1 , e 2 , K , e k =
    where

    k (t ) tl t=0

    P1 , l (

    ) P 0 ( )

    P0 e t 1 + 1 , e t 2 + 2 , K , e t k + k t l tl = 0 j = m 1 m 2 (t 1 + 1 ) j 1 L e (t k + k ) j k j s j e tl t=0

    = j = =

    m 1 m 2 (t k + k ) j k (t 1 + 1 ) j 1 L j e e j s j l t=0 m 1 m 2 k jk 1 j1 L j e e l j s j

    = P1 , l (

    m 1 m 2 jk j1 j2 j L k j s j l 1 2

    Similarly,

    2 k (t ) Cov (Y l , Y m ) = tltm t=0 =


    where

    P2 , lm ( P0 (

    P ( ) P1 , m ( ) 1,l ( ) ( ) P P 0 0

    P2 , lm ( ) =

    m1 m 2 jk j1 j2 j j L 1 2 l m k j s j

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