Compound of Binomial and Poisson random variable

binomial distributionconditional probabilitypoisson distributionprobability distributionsrandom variables

Let N be a random variable following Poisson with parameter a. A new random variable X is defined as

X ~ Binom(N,p) where p is the probability. I am supposed to find the probability of X

I know that here X|N is given. So, to find the the marginal density of X, i have todo the following:

f(x) = $\sum$ f(X|N=n) $\cdot$ f(N=n) with respect to N

However, I am getting confused about the limits of summation as I have two conditions $0$<x<n and $0$<n<$\infty$ and I am not sure how to use these.

Best Answer

However, I am getting confused about the limits of summation as I have two conditions 0<x<n and 0<n<∞ and I am not sure how to use these.

The joint support may be written as such:

$${\quad\{(x,n)\in\Bbb N^2:0\leq x\leq n\lt\infty\}\\=\{(x,n)\in\Bbb N^2:0\leq n<\infty, 0\leq x\leq n\}\\=\{(x,n)\in\Bbb N^2:0\leq x\lt\infty, x\leq n\lt\infty\}}$$

The last is most relevant.


In other words: Because it is impossible for $N<X$ to occur, (ie: $f_{X\mid N}(x\mid n)=0$ when $n<x$), therefore the summation starts at $x$ and proceeds towards the infinite.   Thus the formula you need is:

$$f_X(x) = \sum_{n=x}^\infty f_{X\mid N}(x\mid n)~f_N(n)\quad\big[x\in\Bbb N:0\leq x\lt\infty\big]$$


And you have been provided the distributions, so these terms are: $$\begin{align}f_{X\mid N}(x\mid n) &=\frac{n!~p^x(1-p)^{n-x}}{x!~(n-x)!}~&&\big[x,n\in\Bbb N:0\leq x\leq n\lt \infty\big]\\[2ex] f_N(n) &=\frac{a^n\mathrm e^{-a}}{n!}&&\big[n\in\Bbb N:0\leq n\lt\infty\big]\end{align}$$

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