1
$\begingroup$

I am testing the variance of a negative binomial distribution, but I have problems in the derivative.

$$ V(x) = E(x(x-1))+E(x)-E(x)^{2} $$ $$ E(x(x-1)) = \displaystyle\sum^{\infty}_{\substack{x=0}} x (x-1) \; P(X=x) $$ $$ E(x(x-1)) = \displaystyle\sum^{\infty}_{\substack{x=0}} x (x-1) \displaystyle\binom{x-1}{r-1} \; p^{r} \; (1-p)^{x-r} $$ $$ E(x(x-1)) = \displaystyle\sum^{\infty}_{\substack{x=0}} x (x-1) \dfrac{(x-1)!}{(x-r)!\;(r-1)!} \; p^{r} \; (1-p)^{x-r} $$ $$ E(x(x-1)) = \displaystyle\sum^{\infty}_{\substack{x=0}} (x-1)r \dfrac{x!}{(x-r)!\;(r)!} \; p^{r} \; (1-p)^{x-r} $$ $$ E(x(x-1)) = r\;(\dfrac{p}{1-p})^{r} \displaystyle\sum^{\infty}_{\substack{x=0}} \displaystyle\binom{x}{r} \; (x-1) (1-p)^{x}$$ $$ E(x(x-1)) = r\left(\frac{p}{1-p}\right)^r\left[\sum^{\infty}_{x=r} \binom{x}{r} (x-1)y^{x}\right]_{y=1-p}$$ $$ E(x(x-1)) = r\left(\frac{p}{1-p}\right)^r\left[\sum^{\infty}_{x=r} \binom{x}{r} (xy^x-y^x)\right]_{y=1-p}$$

$$ E(x(x-1)) = r\left(\frac{p}{1-p}\right)^r\left[\sum^{\infty}_{x=r}\binom{x}{r}xy^x-\sum_{x=r}^{\infty }\binom{x}{r}y^x\right]_{y=1-p} $$

$$E(x(x-1)) =r\left(\frac{p}{1-p}\right)^r\left[y\frac{d}{dy}\sum^{\infty}_{x=r}\binom{x}{r} y^x-\sum_{x=r}^{\infty }\binom{x}{r}y^x\right]_{y=1-p} $$

Help me, please, Thanks

$\endgroup$
1

1 Answer 1

0
$\begingroup$

Your trouble is due to using $x(x-1)$ instead of $x(x+1)$. You can verify the identity $$ x(x+1){x-1\choose r-1}=r(r+1){x+1\choose r+1}\tag1 $$ which implies that $$E(X(X+1))= \sum_{x=r}^\infty r(r+1){x+1\choose r+1}p^r(1-p)^{x-r} =r(r+1)\sum_{x=r}^\infty {x+1\choose r+1}p^r(1-p)^{x-r}.\tag2 $$ To evaluate the rightmost sum in (2), the simplest approach is to use the fact that the negative binomial distribution sums to $1$: $$ 1 = \sum_{x=r}^\infty {x-1\choose r-1}p^r(1-p)^{x-r}\tag{*} $$ How? Try renaming the variables appearing in the right-hand sum of (2) to arrive at something that looks more like ($*$). The obvious choice is to define $w$ and $s$ such that: $$x+1 = w-1\qquad\text{and}\qquad r+1 = s-1.$$ In terms of these new variables $w:=x+2$ and $s:=r+2$, you can now recognize ($*$): $$\sum_{x=r}^\infty {x+1\choose r+1}p^r(1-p)^{x-r}=\sum_{w=s}^\infty {w-1\choose s-1}p^{s-2}(1-p)^{w-s}=p^{-2}\underbrace{\sum_{w=s}^\infty {w-1\choose s-1}p^{s}(1-p)^{w-s}}_{1}\tag3$$ Having found $E(X(X+1))$, you can now calculate $$\operatorname{Var}(X)=E(X(X+1)) - E(X) - [E(X)]^2.$$

$\endgroup$

You must log in to answer this question.

Start asking to get answers

Find the answer to your question by asking.

Ask question

Explore related questions

See similar questions with these tags.