Poisson Density as limit of Negative Binomial

Limit Distributions-Poisson Density

Let us look at the behaviour of the frequency plots of random variables Xk that are distributed according to the Negative Binomial distribution NB(k;p) for a fixed p and various k. Recall that:

P(Xk=r)=k+r1rpk(1p)r

sage: def nbinom(k,p,r):
...       return N(binomial(k+r-1,r)*p^k*(1-p)^r)

In order to compare them we create a sequence with p=1/2 and varying k.

sage: p=1/2
sage: nbinoms=[bar_chart(map(lambda r: nbinom(k,p,r), range(20)),color='gray', width=0.2) for k in range(1,20)]

We then animate this sequence.

sage: nbanim=animate(nbinoms,xmin=0,xmax=20,ymin=0,ymax=0.5,figsize=[6,4])

There is no discernable limiting behavior except that the mode moves to the right (keeps increasing) as does the mean.

sage: nbanim.show(delay=70)
Negative Binomial spreads and flattens as k increases

Negative Binomial spreads and flattens as k increases

Therefore, let us fix k. Let us introduce a new variable n and "increase the frequency of checks" as follows. We replace r by nt and p by c/n as we did for the Binomial distribution.

In other words, we are considering a sequence of random variables Yn so that n(Yn) is distributed according to NB(k;c/n).

We then get the formula P(Yn=t)=k+tn1tn(c/n)k(1c/n)tn.

In this case, we expect the limit to be a density, so we should consider the frequencies to be divided by the interval size ( 1/n) and we must also use 1/n as the step size.

The limiting density is the Poisson density cktk1(k1)!ect.

sage: c=0.9;k=2;var('t')
sage: poden=plot(c^k*t^(k-1)*exp(-c*t)/factorial(k-1),(t,0,10),color='orange')
sage: nseq=[poden+point(map(lambda t: (t,n*nbinom(k,c/n,t*n)), srange(0,10,1/n)),color='gray') for n in range(1,30)]
sage: nanim=animate(nseq,xmin=0,xmax=10,ymin=0,ymax=c/2,figsize=[6,4])
sage: nanim.show(delay=70)
Negative Binomial to Poisson Density

Negative Binomial to Poisson Density

Last modified: Thursday, February 18, 2016, 8:48 AM