Negative Binomial Distribution

Chucky Chung

1
1. PMF

( )
x−1 r
f (x) = p (1 − p)x−r , x = r, r + 1, ...
r−1

2. Sum to 1.

∑
f (x)
x∈Sx

∞ (
∑ )
x−1
= pr (1 − p)x−r
x=r
r−1

∞ (
∑ )
x−1
=p r
(1 − p)x−r
x=r
r−1

∞ (
∑ )
y+r−1
=p r
(1 − p)y
y=0
r−1

= pr (1 − (1 − p))−r

= pr p−r = 1 (See Appendix A.)

3. Expected value

E[X k ]

∑
= xk f (x)
x∈Sx

2
 ∑
∞ ( )
x−1 r
= x k
p (1 − p)x−r
x=r
r−1
(x−1) ( x)
Since x r−1
=r r
, we have:

E[X k ]

( )
r ∑ k−1 x r+1
∞
= x p (1 − p)x−r
p x=r r

( )
r ∑
∞
k−1 y − 1
= (y − 1) pr+1 (1 − p)y−(r+1)
p y=r+1 r

r
= E[(Y − 1)k−1 ]
p

where the distribution of Y is N B(r + 1, p).

Set x = 1, then E[x] = pr E[1] = r

p

4. Variance

E[X 2 ]

r
= E[Y − 1]
p

r
= (E[Y ] − 1)
p

r r+1
= ( − 1)
p p

3
 V ar(X)

= E[X 2 ] − E[X]2

r r+1 r
= ( − 1) − ( )2
p p p

r r r − pr r(1 − p)
= 2
− = 2
=
p p p p2

5. MGF

M (t)

∑
= etx f (x)
x∈Sx

∑
∞ ( )
x−1 r
= e tx
p (1 − p)x−r
x=r
r−1

∞ (
∑ )
x−1
= (pe ) t r
(et (1 − p))x−r
x=r
r−1

∞ (
∑ )
y+r−1
= (pe ) t r
(et (1 − p))y
y=0
r−1

= (pet )r (1 − et (1 − p))−r

pet
=( )r (See Appendix A.)
(1 − (1 − p)et

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Appendix A.

∞ (
∑ )
−r k+r−1
Show that (1 − w) = wk when |w| < 1.
k=0
k

Let h(w) = (1 − w)−r , then

h(k) (0) = r(r + 1)...(r + k − 1)(1 − 0)−r−k

(r + k − 1)!
=
(r − 1)!

(1 − w)−r

∑
∞
h(k) (0)
= (w)k
k=0
k!

∑
∞
(r + k − 1)!
= wk
k=0
k!(r − 1)!

∞ (
∑ )
r+k−1
= wk
k=0
k

(Remark) We need to use the identity |w| < 1 to make sure the sum is convergent.