Applied Probability and Statistics I

BSc (Hons) Data Science with Interactive Marketing

Applied Probability and Statistics I

Lecture Notes
Hypergeometric Distribution, Negative Binomial Distribution
and Geometric Distribution

GEOMETRIC DISTRIBUTION

Suppose that independent trials, each having a probability p, 𝟎 ≤ 𝒑 ≤ 𝟏, of being

a success, are performed until a success occurs. Then, X is said to be a
geometric random variable.

The probability mass function of a geometric random variable is given by

𝒇(𝒙) = 𝑷(𝑿 = 𝒙) = 𝒒𝒙−𝟏 𝒑, 𝒙 = 𝟏, 𝟐, … , 𝒂𝒏𝒅 𝟎 ≤ 𝒑 ≤ 𝟏

NRBA Page 1 of 5
 Applied Probability and Statistics I

Theorem 6.1

If X is a geometric random variable, then

1
E(X) =
𝑝
𝑞
Var(X) =
𝑝2

Proof
∞

𝑬(𝑿) = ∑ 𝒙𝒇(𝒙)
𝒙=−∞

= ∑ 𝒙 × 𝒒𝒙−𝟏 𝒑
𝒙=𝟏

= 𝒑 ∑ 𝒙𝒒𝒙−𝟏
𝒙=𝟏

= 𝒑[𝟏 + 𝟐𝒒 + 𝟑𝒒𝟐 + 𝟒𝒒𝟑 + ⋯ ]

𝟏
=𝒑 [ ]
(𝟏 − 𝒒)𝟐
1 −2
𝟏 = ൫1 − 𝑞൯
= 𝒑 [ 𝟐] 2
(𝒑) ൫1 − 𝑞൯

𝟏 – 2(−2−1)൫−𝑞൯
2
= = 1 – 2൫−q൯ +
𝒑 2!

– 2(−2 − 1)(−2 − 2)(−𝑞)3

+
3!
+ ...

NRBA Page 2 of 5
 Applied Probability and Statistics I

Similarly,
∞

𝑬(𝑿𝟐 ) = ∑ 𝒙𝟐 𝒇(𝒙)
𝒙=−∞

= ∑ 𝒙𝟐 × 𝒒𝒙−𝟏 𝒑
𝒙=𝟏

∞ ∞ ∞

= ∑(𝒙𝟐 − 𝒙 + 𝒙) × 𝒒𝒙−𝟏 𝒑 = ∑(𝒙𝟐 − 𝒙) × 𝒒𝒙−𝟏 𝒑 + ∑ 𝒙 × 𝒒𝒙−𝟏 𝒑

𝒙=𝟏 𝒙 =𝟏 𝒙=𝟏

= ∑ 𝒙(𝒙 − 𝟏) × 𝒒𝒙−𝟏 𝒑 + 𝑬(𝑿)

𝒙 =𝟏

∞
𝟏
= 𝒑 ∑ 𝒙(𝒙 − 𝟏) × 𝒒𝒙−𝟏 +
𝒑
𝒙=𝟏

𝟏
= 𝒑[𝟐𝒒 + 𝟔𝒒𝟐 + 𝟏𝟐𝒒𝟑 + 𝟐𝟎𝒒𝟒 + ⋯ ] + 1 −3
𝒑 3
= ൫1 − 𝑞൯
൫1 − 𝑞൯
𝟏
= 𝟐𝒑𝒒[𝟏 + 𝟑𝒒 + 𝟔𝒒𝟐 + 𝟏𝟎𝒒𝟑 + ⋯ ] + – 3(−3−1)൫−𝑞൯
2
𝒑 = 1 – 3൫−q൯ + 2!

𝟏 𝟏 3
= 𝟐𝒑𝒒 [ ] + – 3(−3 − 1)(−3 − 2)൫−𝑞൯
(𝟏 − 𝒒)𝟑 𝒑 +
3!
+ ...
𝟐𝒒 𝟏
= +
𝒑𝟐 𝒑

𝟐)
𝟐𝒒 𝟏 𝟏 𝟐 𝟐𝒒 + 𝒑 − 𝟏
𝑽𝒂𝒓(𝑿) = 𝑬(𝑿 − [𝑬(𝑿)]𝟐 = 𝟐 + −( ) =
𝒑 𝒑 𝒑 𝒑𝟐

𝟐𝒒 − (𝟏 − 𝒑) 𝟐𝒒 − 𝒒 𝒒
= = =
𝒑𝟐 𝒑𝟐 𝒑𝟐

NRBA Page 3 of 5
 Applied Probability and Statistics I

NEGATIVE BINOMIAL DISTRIBUTION

Suppose that independent trials, each having a probability p, 𝟎 ≤ 𝒑 ≤ 𝟏, of being

a success, are performed until a total of r successes is accumulated. Then, X is
said to be a negative binomial random variable.

The probability mass function of a negative binomial random variable is given by

𝒙 − 𝟏 𝒓 𝒙−𝒓
𝒇(𝒙) = 𝑷(𝑿 = 𝒙) = ( ) 𝒑 𝒒 , 𝒙 = 𝒓, 𝒓 + 𝟏, … , 𝒂𝒏𝒅 𝟎 ≤ 𝒑 ≤ 𝟏
𝒓−𝟏

Theorem 6.2

If X is a negative binomial random variable, then

𝑟
E(X) =
𝑝
𝑟𝑞
Var(X) =
𝑝2

NRBA Page 4 of 5
 Applied Probability and Statistics I

HYPERGEOMETRIC DISTRIBUTION

Suppose that the number of red and blue balls in a box are m1 and m2
respectively. Consider n trials of an experiment in which a marble is chosen at
random, its colour is observed, and then the marble is put back in the box. This
type of experiment is often referred to as sampling with replacement.
If X is the random variable denoting the number of blue marbles chosen
(successes) in n trials, then using the binomial distribution, we see that the
probability of exactly x successes is

𝒏 𝒎 𝒙 𝒎𝟐 𝒏−𝒙
f(𝒙) = 𝑷(𝑿 = 𝒙) = ( ) [ 𝟐 ] [𝟏 − ] , 𝒙 = 𝟎, 𝟏, … , 𝒏
𝒙 𝒎𝟏 +𝒎𝟐 𝒎𝟏 +𝒎𝟐

That is,
𝒏 𝒎 𝒙 𝒎 𝒏−𝒙
f(𝒙) = 𝑷(𝑿 = 𝒙) = ( ) [ 𝟐 ] [ 𝟏 ] , 𝒙 = 𝟎, 𝟏, … , 𝒏
𝒙 𝒎𝟏 +𝒎𝟐 𝒎𝟏+𝒎𝟐

𝒏 𝒎 𝒙𝒎 𝒏−𝒙
f(𝒙) = 𝑷(𝑿 = 𝒙) = ( ) [𝒎 𝟐 𝟏]𝒙+𝒏−𝒙 , 𝒙 = 𝟎, 𝟏, … , 𝒏
𝒙 𝟏 +𝒎𝟐

Therefore

𝒏 𝒎 𝒙𝒎 𝒏−𝒙
f(𝒙) = 𝑷(𝑿 = 𝒙) = ( ) [𝒎𝟐 𝟏 ]𝒏 , 𝒙 = 𝟎, 𝟏, … , 𝒏
𝒙 𝟏 +𝒎𝟐

This is called the hypergeometric distribution.

NRBA Page 5 of 5