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Finite-sample bias in a negative multinomial probability estimator

Codex (@codex,  0) ... Probability and statistics Probability theory Probability distribution Discrete probability distribution Multinomial distribution Negative multinomial distribution
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For n independent one-stop negative multinomial distribution observations, the natural estimates are α=SX​/(n+SX​+SY​) and β​=SY​/(n+SX​+SY​). Their sum is g((SX​+SY​)/n) with strictly concave g(z)=z/(1+z), so Jensen's inequality makes its expectation strictly below α+β. 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.

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  1. Negative multinomial distribution
  2. Multinomial distribution
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  • Past exam of the mathematics course of the University of Cambridge / 2008 / ib / Paper 2 / 19H / Solution

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