Double Generalized Beta-Binomial and Negative Binomial Regression Models
Total Page:16
File Type:pdf, Size:1020Kb
Load more
Recommended publications
-
The Beta-Binomial Distribution Introduction Bayesian Derivation
In Danish: 2005-09-19 / SLB Translated: 2008-05-28 / SLB Bayesian Statistics, Simulation and Software The beta-binomial distribution I have translated this document, written for another course in Danish, almost as is. I have kept the references to Lee, the textbook used for that course. Introduction In Lee: Bayesian Statistics, the beta-binomial distribution is very shortly mentioned as the predictive distribution for the binomial distribution, given the conjugate prior distribution, the beta distribution. (In Lee, see pp. 78, 214, 156.) Here we shall treat it slightly more in depth, partly because it emerges in the WinBUGS example in Lee x 9.7, and partly because it possibly can be useful for your project work. Bayesian Derivation We make n independent Bernoulli trials (0-1 trials) with probability parameter π. It is well known that the number of successes x has the binomial distribution. Considering the probability parameter π unknown (but of course the sample-size parameter n is known), we have xjπ ∼ bin(n; π); where in generic1 notation n p(xjπ) = πx(1 − π)1−x; x = 0; 1; : : : ; n: x We assume as prior distribution for π a beta distribution, i.e. π ∼ beta(α; β); 1By this we mean that p is not a fixed function, but denotes the density function (in the discrete case also called the probability function) for the random variable the value of which is argument for p. 1 with density function 1 p(π) = πα−1(1 − π)β−1; 0 < π < 1: B(α; β) I remind you that the beta function can be expressed by the gamma function: Γ(α)Γ(β) B(α; β) = : (1) Γ(α + β) In Lee, x 3.1 is shown that the posterior distribution is a beta distribution as well, πjx ∼ beta(α + x; β + n − x): (Because of this result we say that the beta distribution is conjugate distribution to the binomial distribution.) We shall now derive the predictive distribution, that is finding p(x). -
The Exponential Family 1 Definition
The Exponential Family David M. Blei Columbia University November 9, 2016 The exponential family is a class of densities (Brown, 1986). It encompasses many familiar forms of likelihoods, such as the Gaussian, Poisson, multinomial, and Bernoulli. It also encompasses their conjugate priors, such as the Gamma, Dirichlet, and beta. 1 Definition A probability density in the exponential family has this form p.x / h.x/ exp >t.x/ a./ ; (1) j D f g where is the natural parameter; t.x/ are sufficient statistics; h.x/ is the “base measure;” a./ is the log normalizer. Examples of exponential family distributions include Gaussian, gamma, Poisson, Bernoulli, multinomial, Markov models. Examples of distributions that are not in this family include student-t, mixtures, and hidden Markov models. (We are considering these families as distributions of data. The latent variables are implicitly marginalized out.) The statistic t.x/ is called sufficient because the probability as a function of only depends on x through t.x/. The exponential family has fundamental connections to the world of graphical models (Wainwright and Jordan, 2008). For our purposes, we’ll use exponential 1 families as components in directed graphical models, e.g., in the mixtures of Gaussians. The log normalizer ensures that the density integrates to 1, Z a./ log h.x/ exp >t.x/ d.x/ (2) D f g This is the negative logarithm of the normalizing constant. The function h.x/ can be a source of confusion. One way to interpret h.x/ is the (unnormalized) distribution of x when 0. It might involve statistics of x that D are not in t.x/, i.e., that do not vary with the natural parameter. -
9. Binomial Distribution
J. K. SHAH CLASSES Binomial Distribution 9. Binomial Distribution THEORETICAL DISTRIBUTION (Exists only in theory) 1. Theoretical Distribution is a distribution where the variables are distributed according to some definite mathematical laws. 2. In other words, Theoretical Distributions are mathematical models; where the frequencies / probabilities are calculated by mathematical computation. 3. Theoretical Distribution are also called as Expected Variance Distribution or Frequency Distribution 4. THEORETICAL DISTRIBUTION DISCRETE CONTINUOUS BINOMIAL POISSON Distribution Distribution NORMAL OR Student’s ‘t’ Chi-square Snedecor’s GAUSSIAN Distribution Distribution F-Distribution Distribution A. Binomial Distribution (Bernoulli Distribution) 1. This distribution is a discrete probability Distribution where the variable ‘x’ can assume only discrete values i.e. x = 0, 1, 2, 3,....... n 2. This distribution is derived from a special type of random experiment known as Bernoulli Experiment or Bernoulli Trials , which has the following characteristics (i) Each trial must be associated with two mutually exclusive & exhaustive outcomes – SUCCESS and FAILURE . Usually the probability of success is denoted by ‘p’ and that of the failure by ‘q’ where q = 1-p and therefore p + q = 1. (ii) The trials must be independent under identical conditions. (iii) The number of trial must be finite (countably finite). (iv) Probability of success and failure remains unchanged throughout the process. : 442 : J. K. SHAH CLASSES Binomial Distribution Note 1 : A ‘trial’ is an attempt to produce outcomes which is neither sure nor impossible in nature. Note 2 : The conditions mentioned may also be treated as the conditions for Binomial Distributions. 3. Characteristics or Properties of Binomial Distribution (i) It is a bi parametric distribution i.e. -
Chapter 6 Continuous Random Variables and Probability
EF 507 QUANTITATIVE METHODS FOR ECONOMICS AND FINANCE FALL 2019 Chapter 6 Continuous Random Variables and Probability Distributions Chap 6-1 Probability Distributions Probability Distributions Ch. 5 Discrete Continuous Ch. 6 Probability Probability Distributions Distributions Binomial Uniform Hypergeometric Normal Poisson Exponential Chap 6-2/62 Continuous Probability Distributions § A continuous random variable is a variable that can assume any value in an interval § thickness of an item § time required to complete a task § temperature of a solution § height in inches § These can potentially take on any value, depending only on the ability to measure accurately. Chap 6-3/62 Cumulative Distribution Function § The cumulative distribution function, F(x), for a continuous random variable X expresses the probability that X does not exceed the value of x F(x) = P(X £ x) § Let a and b be two possible values of X, with a < b. The probability that X lies between a and b is P(a < X < b) = F(b) -F(a) Chap 6-4/62 Probability Density Function The probability density function, f(x), of random variable X has the following properties: 1. f(x) > 0 for all values of x 2. The area under the probability density function f(x) over all values of the random variable X is equal to 1.0 3. The probability that X lies between two values is the area under the density function graph between the two values 4. The cumulative density function F(x0) is the area under the probability density function f(x) from the minimum x value up to x0 x0 f(x ) = f(x)dx 0 ò xm where -
A Skew Extension of the T-Distribution, with Applications
J. R. Statist. Soc. B (2003) 65, Part 1, pp. 159–174 A skew extension of the t-distribution, with applications M. C. Jones The Open University, Milton Keynes, UK and M. J. Faddy University of Birmingham, UK [Received March 2000. Final revision July 2002] Summary. A tractable skew t-distribution on the real line is proposed.This includes as a special case the symmetric t-distribution, and otherwise provides skew extensions thereof.The distribu- tion is potentially useful both for modelling data and in robustness studies. Properties of the new distribution are presented. Likelihood inference for the parameters of this skew t-distribution is developed. Application is made to two data modelling examples. Keywords: Beta distribution; Likelihood inference; Robustness; Skewness; Student’s t-distribution 1. Introduction Student’s t-distribution occurs frequently in statistics. Its usual derivation and use is as the sam- pling distribution of certain test statistics under normality, but increasingly the t-distribution is being used in both frequentist and Bayesian statistics as a heavy-tailed alternative to the nor- mal distribution when robustness to possible outliers is a concern. See Lange et al. (1989) and Gelman et al. (1995) and references therein. It will often be useful to consider a further alternative to the normal or t-distribution which is both heavy tailed and skew. To this end, we propose a family of distributions which includes the symmetric t-distributions as special cases, and also includes extensions of the t-distribution, still taking values on the whole real line, with non-zero skewness. Let a>0 and b>0be parameters. -
3.2.3 Binomial Distribution
3.2.3 Binomial Distribution The binomial distribution is based on the idea of a Bernoulli trial. A Bernoulli trail is an experiment with two, and only two, possible outcomes. A random variable X has a Bernoulli(p) distribution if 8 > <1 with probability p X = > :0 with probability 1 − p, where 0 ≤ p ≤ 1. The value X = 1 is often termed a “success” and X = 0 is termed a “failure”. The mean and variance of a Bernoulli(p) random variable are easily seen to be EX = (1)(p) + (0)(1 − p) = p and VarX = (1 − p)2p + (0 − p)2(1 − p) = p(1 − p). In a sequence of n identical, independent Bernoulli trials, each with success probability p, define the random variables X1,...,Xn by 8 > <1 with probability p X = i > :0 with probability 1 − p. The random variable Xn Y = Xi i=1 has the binomial distribution and it the number of sucesses among n independent trials. The probability mass function of Y is µ ¶ ¡ ¢ n ¡ ¢ P Y = y = py 1 − p n−y. y For this distribution, t n EX = np, Var(X) = np(1 − p),MX (t) = [pe + (1 − p)] . 1 Theorem 3.2.2 (Binomial theorem) For any real numbers x and y and integer n ≥ 0, µ ¶ Xn n (x + y)n = xiyn−i. i i=0 If we take x = p and y = 1 − p, we get µ ¶ Xn n 1 = (p + (1 − p))n = pi(1 − p)n−i. i i=0 Example 3.2.2 (Dice probabilities) Suppose we are interested in finding the probability of obtaining at least one 6 in four rolls of a fair die. -
On a Problem Connected with Beta and Gamma Distributions by R
ON A PROBLEM CONNECTED WITH BETA AND GAMMA DISTRIBUTIONS BY R. G. LAHA(i) 1. Introduction. The random variable X is said to have a Gamma distribution G(x;0,a)if du for x > 0, (1.1) P(X = x) = G(x;0,a) = JoT(a)" 0 for x ^ 0, where 0 > 0, a > 0. Let X and Y be two independently and identically distributed random variables each having a Gamma distribution of the form (1.1). Then it is well known [1, pp. 243-244], that the random variable W = X¡iX + Y) has a Beta distribution Biw ; a, a) given by 0 for w = 0, (1.2) PiW^w) = Biw;x,x)=\ ) u"-1il-u)'-1du for0<w<l, Ío T(a)r(a) 1 for w > 1. Now we can state the converse problem as follows : Let X and Y be two independently and identically distributed random variables having a common distribution function Fix). Suppose that W = Xj{X + Y) has a Beta distribution of the form (1.2). Then the question is whether £(x) is necessarily a Gamma distribution of the form (1.1). This problem was posed by Mauldon in [9]. He also showed that the converse problem is not true in general and constructed an example of a non-Gamma distribution with this property using the solution of an integral equation which was studied by Goodspeed in [2]. In the present paper we carry out a systematic investigation of this problem. In §2, we derive some general properties possessed by this class of distribution laws Fix). -
Solutions to the Exercises
Solutions to the Exercises Chapter 1 Solution 1.1 (a) Your computer may be programmed to allocate borderline cases to the next group down, or the next group up; and it may or may not manage to follow this rule consistently, depending on its handling of the numbers involved. Following a rule which says 'move borderline cases to the next group up', these are the five classifications. (i) 1.0-1.2 1.2-1.4 1.4-1.6 1.6-1.8 1.8-2.0 2.0-2.2 2.2-2.4 6 6 4 8 4 3 4 2.4-2.6 2.6-2.8 2.8-3.0 3.0-3.2 3.2-3.4 3.4-3.6 3.6-3.8 6 3 2 2 0 1 1 (ii) 1.0-1.3 1.3-1.6 1.6-1.9 1.9-2.2 2.2-2.5 10 6 10 5 6 2.5-2.8 2.8-3.1 3.1-3.4 3.4-3.7 7 3 1 2 (iii) 0.8-1.1 1.1-1.4 1.4-1.7 1.7-2.0 2.0-2.3 2 10 6 10 7 2.3-2.6 2.6-2.9 2.9-3.2 3.2-3.5 3.5-3.8 6 4 3 1 1 (iv) 0.85-1.15 1.15-1.45 1.45-1.75 1.75-2.05 2.05-2.35 4 9 8 9 5 2.35-2.65 2.65-2.95 2.95-3.25 3.25-3.55 3.55-3.85 7 3 3 1 1 (V) 0.9-1.2 1.2-1.5 1.5-1.8 1.8-2.1 2.1-2.4 6 7 11 7 4 2.4-2.7 2.7-3.0 3.0-3.3 3.3-3.6 3.6-3.9 7 4 2 1 1 (b) Computer graphics: the diagrams are shown in Figures 1.9 to 1.11. -
Chapter 5 Sections
Chapter 5 Chapter 5 sections Discrete univariate distributions: 5.2 Bernoulli and Binomial distributions Just skim 5.3 Hypergeometric distributions 5.4 Poisson distributions Just skim 5.5 Negative Binomial distributions Continuous univariate distributions: 5.6 Normal distributions 5.7 Gamma distributions Just skim 5.8 Beta distributions Multivariate distributions Just skim 5.9 Multinomial distributions 5.10 Bivariate normal distributions 1 / 43 Chapter 5 5.1 Introduction Families of distributions How: Parameter and Parameter space pf /pdf and cdf - new notation: f (xj parameters ) Mean, variance and the m.g.f. (t) Features, connections to other distributions, approximation Reasoning behind a distribution Why: Natural justification for certain experiments A model for the uncertainty in an experiment All models are wrong, but some are useful – George Box 2 / 43 Chapter 5 5.2 Bernoulli and Binomial distributions Bernoulli distributions Def: Bernoulli distributions – Bernoulli(p) A r.v. X has the Bernoulli distribution with parameter p if P(X = 1) = p and P(X = 0) = 1 − p. The pf of X is px (1 − p)1−x for x = 0; 1 f (xjp) = 0 otherwise Parameter space: p 2 [0; 1] In an experiment with only two possible outcomes, “success” and “failure”, let X = number successes. Then X ∼ Bernoulli(p) where p is the probability of success. E(X) = p, Var(X) = p(1 − p) and (t) = E(etX ) = pet + (1 − p) 8 < 0 for x < 0 The cdf is F(xjp) = 1 − p for 0 ≤ x < 1 : 1 for x ≥ 1 3 / 43 Chapter 5 5.2 Bernoulli and Binomial distributions Binomial distributions Def: Binomial distributions – Binomial(n; p) A r.v. -
A Note on Skew-Normal Distribution Approximation to the Negative Binomal Distribution
WSEAS TRANSACTIONS on MATHEMATICS Jyh-Jiuan Lin, Ching-Hui Chang, Rosemary Jou A NOTE ON SKEW-NORMAL DISTRIBUTION APPROXIMATION TO THE NEGATIVE BINOMAL DISTRIBUTION 1 2* 3 JYH-JIUAN LIN , CHING-HUI CHANG AND ROSEMARY JOU 1Department of Statistics Tamkang University 151 Ying-Chuan Road, Tamsui, Taipei County 251, Taiwan [email protected] 2Department of Applied Statistics and Information Science Ming Chuan University 5 De-Ming Road, Gui-Shan District, Taoyuan 333, Taiwan [email protected] 3 Graduate Institute of Management Sciences, Tamkang University 151 Ying-Chuan Road, Tamsui, Taipei County 251, Taiwan [email protected] Abstract: This article revisits the problem of approximating the negative binomial distribution. Its goal is to show that the skew-normal distribution, another alternative methodology, provides a much better approximation to negative binomial probabilities than the usual normal approximation. Key-Words: Central Limit Theorem, cumulative distribution function (cdf), skew-normal distribution, skew parameter. * Corresponding author ISSN: 1109-2769 32 Issue 1, Volume 9, January 2010 WSEAS TRANSACTIONS on MATHEMATICS Jyh-Jiuan Lin, Ching-Hui Chang, Rosemary Jou 1. INTRODUCTION where φ and Φ denote the standard normal pdf and cdf respectively. The This article revisits the problem of the parameter space is: μ ∈( −∞ , ∞), σ > 0 and negative binomial distribution approximation. Though the most commonly used solution of λ ∈(−∞ , ∞). Besides, the distribution approximating the negative binomial SN(0, 1, λ) with pdf distribution is by normal distribution, Peizer f( x | 0, 1, λ) = 2φ (x )Φ (λ x ) is called the and Pratt (1968) has investigated this problem standard skew-normal distribution. -
A Family of Skew-Normal Distributions for Modeling Proportions and Rates with Zeros/Ones Excess
S S symmetry Article A Family of Skew-Normal Distributions for Modeling Proportions and Rates with Zeros/Ones Excess Guillermo Martínez-Flórez 1, Víctor Leiva 2,* , Emilio Gómez-Déniz 3 and Carolina Marchant 4 1 Departamento de Matemáticas y Estadística, Facultad de Ciencias Básicas, Universidad de Córdoba, Montería 14014, Colombia; [email protected] 2 Escuela de Ingeniería Industrial, Pontificia Universidad Católica de Valparaíso, 2362807 Valparaíso, Chile 3 Facultad de Economía, Empresa y Turismo, Universidad de Las Palmas de Gran Canaria and TIDES Institute, 35001 Canarias, Spain; [email protected] 4 Facultad de Ciencias Básicas, Universidad Católica del Maule, 3466706 Talca, Chile; [email protected] * Correspondence: [email protected] or [email protected] Received: 30 June 2020; Accepted: 19 August 2020; Published: 1 September 2020 Abstract: In this paper, we consider skew-normal distributions for constructing new a distribution which allows us to model proportions and rates with zero/one inflation as an alternative to the inflated beta distributions. The new distribution is a mixture between a Bernoulli distribution for explaining the zero/one excess and a censored skew-normal distribution for the continuous variable. The maximum likelihood method is used for parameter estimation. Observed and expected Fisher information matrices are derived to conduct likelihood-based inference in this new type skew-normal distribution. Given the flexibility of the new distributions, we are able to show, in real data scenarios, the good performance of our proposal. Keywords: beta distribution; centered skew-normal distribution; maximum-likelihood methods; Monte Carlo simulations; proportions; R software; rates; zero/one inflated data 1. -
Lecture 2 — September 24 2.1 Recap 2.2 Exponential Families
STATS 300A: Theory of Statistics Fall 2015 Lecture 2 | September 24 Lecturer: Lester Mackey Scribe: Stephen Bates and Andy Tsao 2.1 Recap Last time, we set out on a quest to develop optimal inference procedures and, along the way, encountered an important pair of assertions: not all data is relevant, and irrelevant data can only increase risk and hence impair performance. This led us to introduce a notion of lossless data compression (sufficiency): T is sufficient for P with X ∼ Pθ 2 P if X j T (X) is independent of θ. How far can we take this idea? At what point does compression impair performance? These are questions of optimal data reduction. While we will develop general answers to these questions in this lecture and the next, we can often say much more in the context of specific modeling choices. With this in mind, let's consider an especially important class of models known as the exponential family models. 2.2 Exponential Families Definition 1. The model fPθ : θ 2 Ωg forms an s-dimensional exponential family if each Pθ has density of the form: s ! X p(x; θ) = exp ηi(θ)Ti(x) − B(θ) h(x) i=1 • ηi(θ) 2 R are called the natural parameters. • Ti(x) 2 R are its sufficient statistics, which follows from NFFC. • B(θ) is the log-partition function because it is the logarithm of a normalization factor: s ! ! Z X B(θ) = log exp ηi(θ)Ti(x) h(x)dµ(x) 2 R i=1 • h(x) 2 R: base measure.