4

Let $\{a_1,a_2,\ldots,,a_n\}$ be a random sample of a Poisson distribution. Consider the following random variables $X_1=\mathrm{Binomial}(a_1,q), ~X_2=\mathrm{Binomial}(a_2,q),\ldots,~X_n=\mathrm{Binomial}(a_n,q)$.

Is there a method to find the distribution of $X=\sum_{i=1}^nX_i$?

kjetil b halvorsen
  • 63,378
  • 26
  • 142
  • 467
Slash020
  • 43
  • 5
  • 3
    You can simplify your question by first determining the distribution of $X$ in terms of the $a_i$ and $q.$ It will depend only on the sum of the $a_i.$ What is the distribution of the sum of the $a_i$? Then take a look at https://stats.stackexchange.com/questions/288807. – whuber Apr 11 '19 at 21:10
  • Thanks for your answer. That helps me a lot! – Slash020 Apr 11 '19 at 21:34
  • Suppose $n = 3, A \sim \mathsf{Pois}(4).$ and $q = 1/2,$ then total has mean and variance 6. In R, `s = replicate(10^6, sum(rbinom(3, rpois(3, 4), 1/2))); mean(s); var(s)` returns very close to 6 and 6: $S \sim \mathsf{Pois}(6).$. – BruceET Apr 12 '19 at 07:09
  • 1
    Look into moment generating functions. If $X\mid N$ has the mgf $M_{X\mid N}(t)$, then $X$ has the mgf $\DeclareMathOperator{\E}{\mathbb{E}} M_X(t)=\E_N M_{X\mid N}(t)$. – kjetil b halvorsen Apr 12 '19 at 09:54
  • @whuber Does the solution work for another discrete distribution? or only works for the Poisson distribution? – Slash020 Apr 12 '19 at 12:58
  • @BruceET My intuition is that it should follow a Poisson distribution with parameter $\lambda q$ – Slash020 Apr 12 '19 at 13:00
  • This requires special properties of the homogeneous Poisson process. – whuber Apr 12 '19 at 13:07
  • @whuber do you know a paper where shows similar results for different cases? – Slash020 Apr 12 '19 at 15:11
  • "Different" in what respect? – whuber Apr 12 '19 at 16:15
  • @whuber I mean considering different distributions for $a_i$ – Slash020 Apr 12 '19 at 18:19

1 Answers1

5

The answer to this particular problem is immediate if you think in terms of how these distributions usually arise.

Consider a homogeneous Poisson process of rate $\mu.$ In the first interval of time you observe $a_1$ events, then in the second interval you observe $a_2 $ events, and so on. The Binomial probabilities reflect the results of selecting randomly, with equal probabilities $q,$ from each set of $a_i$ events. The result is a Poisson process that has been "thinned" by keeping only a fraction $q$ of all events. Thus, its rate must be $q\mu$ and it has run for $n$ time intervals. Consequently, writing $\lambda=n\mu$ for the overall rate during these time intervals, the answer must be the Poisson probability,

$$\Pr(X=k) = e^{-q\lambda} \frac{(q\lambda)^k}{k!}.$$


General solution

Let's now address the general question where the $a_i$ arise independently according to any distribution.

Let $A=a_1+a_2+\cdots+a_n$ be the random variable equal to this sum. By conceiving of a Binomial$(a,q)$ distribution as being that of the sum of $a$ independent Bernoulli$(q)$ distributions, it is evident that the sum of the $X_i$ is distributed as the sum of all $a_1+a_2+\cdots + a_n$ Bernoulli variables. Let the probability function for $A$ be $p,$ so that for $a=0, 1, 2, \ldots,$

$$p_a = \Pr(a_1+a_2+\cdots+a_n=a).$$

Conditional on $A=a,$ the Binomial probability law is

$$\Pr(k) = \binom{a}{k}q^k(1-q)^{a-k}.$$

The event $X=k$ is the disjoint union of the events $(A,X)=(0,k),$ $(A,X)=(1,k),$ $(A,X)=(2,k),$ and so on. Therefore its probability is the sum of the probabilities of these events, each of which can be computed in terms of conditional probabilities as

$$\Pr(A,X)=(a,k) = \Pr(X=k\mid A=a)\Pr(A=a) = \binom{a}{k}q^k(1-q)^{a-k}\, p_a.$$

Their sum is

$$\Pr(X=k) = \sum_{a=0}^\infty \Pr(a,k) = \sum_{a=0}^\infty\binom{a}{k}q^k(1-q)^{a-k}\, p_a.$$

Notice that $X=k$ is impossible unless $a \ge k.$ Let us therefore reindex the sum in terms of $a-k=0, 1, 2, \ldots,$ writing $n=a-k:$

$$\Pr(X=k) = \sum_{n=0}^\infty\binom{n+k}{k}q^k(1-q)^{n}\, p_{k+n} = q^k\sum_{n=0}^\infty\binom{n+k}{k}(1-q)^{n}\, p_{k+n}.$$

This the general solution. It was obtained using only the basic axioms of probability (and therefore many explanations can be found in textbooks, if you wish to do further research).


Worked example

When the $a_i$ have Poisson distributions of rates $\lambda_i,$ their sum has a Poisson distribution of rate $\lambda = \sum_i\lambda_i,$ whence

$$p_a = e^{-\lambda} \frac{\lambda^a}{a!}.$$

Plugging this into the foregoing formula gives

$$\Pr(X=k) = q^k\sum_{n=0}^\infty\binom{n+k}{k}(1-q)^{n}\, e^{-\lambda} \frac{\lambda^{k+n}}{(k+n)!} = e^{-\lambda}\frac{(\lambda q)^k}{k!}\sum_{n=0}^\infty\frac{(\lambda(1-q))^{n}}{n!}.$$

This last sum is the series for $\exp(\lambda(1-q)),$ simplifying the result to

$$\Pr(X=k) = e^{-\lambda}\frac{(\lambda q)^k}{k!}e^{\lambda(1-q)} = e^{-q\lambda}\frac{(\lambda q)^k}{k!},$$

which is the Poisson probability for $k$ with rate $\lambda q$ we obtained at the outset (using no calculation at all).

whuber
  • 281,159
  • 54
  • 637
  • 1,101