Finite-sample bias in a negative multinomial probability estimator

ID: finite-sample-bias-in-a-negative-multinomial-probability-estimator

For independent one-stop negative multinomial distribution observations, the natural estimates are and . Their sum is with strictly concave , so Jensen's inequality makes its expectation strictly below . Conditional category proportions split this bias between both estimates. With zero observed counts of a category, that estimate lies at zero; in a parameter space requiring strict positivity the likelihood supremum is not attained.

New to topics? Read the docs here!