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Derivation of the negative binomial distribution from the compound Poisson process (aka ``apparent contagion'')

Andy Long

Abstract:

In [2] Cliff and Ord explain the basic Poisson process, and then go on to describe the classical contagions, true (generalising) and apparent (compound), which are departures from the simple Poisson process (which produces Complete Spatial Randomness, or CSR).

The Poisson process satisfies three conditions:

The true and apparent models violate one or more of these conditions. It is possible for true and apparent contagion models to model the same distribution, however. In this note we show how to obtain the negative binomial distribution using the apparent contagion model.

The Poisson process has density

displaymath157

whereas the negative binomial density is

  equation41

For the negative binomial think ``n is the number of successes before the ktex2html_wrap_inline193 failure.''[1] (Note that in this representation, p is the probability of failure.)

The apparent contagion model (compound Poisson process) compounds the Poisson process with a distribution for the value of tex2html_wrap_inline197 given by tex2html_wrap_inline199 :

displaymath158

For the gamma distribution, with density function

displaymath159

we obtain

displaymath160

We will show (as Cliff and Ord indicate) that this results in a negative binomial distribution.

Rearranging some terms, we find that

displaymath161

Some of the terms inside the integral are independent of tex2html_wrap_inline197 , and can be moved from within the integral to without: we define

displaymath162

(which is independent of tex2html_wrap_inline197 , the variable of integration) and write

displaymath163

A change of variable to tex2html_wrap_inline205 gives

displaymath164

Since

displaymath165

the integral evaluates to

displaymath166

displaymath167

displaymath168

as tex2html_wrap_inline207 and tex2html_wrap_inline209 . Thus setting

displaymath169

and

displaymath170

gives

displaymath171

the result promised.

The negative binomial distribution (eq. 1) can also be derived by generalizing the Poisson with the logarithmic distribution, which is given by

displaymath172

In this case, the clusters are distributed as Poisson, with the number of individuals in a cluster determined by the logarithmic distribution. In this case the authors claim that

displaymath173

and

displaymath174

results in the negative binomial (eq. 1). I have yet to work that out, however.




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Next: References

Andrew E Long
Tue Aug 24 14:10:52 EDT 1999