Dirichlet negative multinomial distribution

In probability theory and statistics, the

Notation
Dirichlet negative multinomial
distribution is a multivariate distribution on Parameters
the non-negative integers. It is a Support
multivariate extension of the beta negative
binomial distribution. It is also a PMF
generalization of the negative multinomial
distribution (NM(k, p)) allowing for where , and Γ(x) is
heterogeneity or overdispersion to the the Gamma function and B is the beta
probability vector. It is used in quantitative function.
marketing research to flexibly model the
Mean for
number of household transactions across
multiple brands. Variance

If parameters of the Dirichlet distribution

for
are , and if
MGF does not exist
CF

where
where is the Lauricella function

then the marginal distribution of X is a Dirichlet negative multinomial distribution:

In the above, is the negative multinomial distribution and is the Dirichlet

distribution.

Motivation

Dirichlet negative multinomial as a compound distribution

The Dirichlet distribution is a conjugate distribution to the negative multinomial distribution. This fact leads
to an analytically tractable compound distribution. For a random vector of category counts
, distributed according to a negative multinomial distribution, the compound distribution
is obtained by integrating on the distribution for p which can be thought of as a random vector following a
Dirichlet distribution:
which results in the following formula:

where and are the dimensional vectors created by appending the scalars and to the
dimensional vectors and respectively and is the multivariate version of the beta function. We can
write this equation explicitly as

Alternative formulations exist. One convenient representation[1] is

where and .

This can also be written

Properties

Marginal distributions

To obtain the marginal distribution over a subset of Dirichlet negative multinomial random variables, one
only needs to drop the irrelevant 's (the variables that one wants to marginalize out) from the vector.
The joint distribution of the remaining random variates is where is the vector
with the removed 's. The univariate marginals are said to be beta negative binomially distributed.

Conditional distributions

If m-dimensional x is partitioned as follows

and accordingly
then the conditional distribution of on is where

and

That is,

Conditional on the sum

The conditional distribution of a Dirichlet negative multinomial distribution on is Dirichlet-

multinomial distribution with parameters and . That is

Notice that the expression does not depend on or .

Aggregation

If

then, if the random variables with positive subscripts i and j are dropped from the vector and replaced by
their sum,

Correlation matrix

For the entries of the correlation matrix are

Heavy tailed

The Dirichlet negative multinomial is a heavy tailed distribution. It does not have a finite mean for
and it has infinite covariance matrix for . Therefore the moment generating function does not exist.

Applications

Dirichlet negative multinomial as a Pólya urn model

In the case when the parameters and are positive integers the Dirichlet negative
multinomial can also be motivated by an urn model - or more specifically a basic Pólya urn model.

Consider an urn initially containing balls of various colors including red balls (the

stopping color). The vector gives the respective counts of the other balls of various non-red colors. At
each step of the model, a ball is drawn at random from the urn and replaced, along with one additional ball
of the same color. The process is repeated over and over, until red colored balls are drawn. The random
vector of observed draws of the other non-red colors are distributed according to a
. Note, at the end of the experiment, the urn always contains the fixed number of red balls while
containing the random number of the other colors.

See also
Beta negative binomial distribution
Negative multinomial distribution
Dirichlet-multinomial distribution

References
1. Farewell, Daniel & Farewell, Vernon. (2012). Dirichlet negative multinomial regression for
overdispersed correlated count data. Biostatistics (Oxford, England). 14.
10.1093/biostatistics/kxs050.

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