Beta negative binomial distribution

In probability theory, a beta negative binomial distribution is the probability distribution of a discrete
random variable  equal to the number of failures needed to get successes in a sequence of
Beta Negative Binomial
independent Bernoulli trials. The probability of success on each trial stays constant within any given Parameters shape (real)
experiment but varies across different experiments following a beta distribution. Thus the distribution shape (real)
is a compound probability distribution. — number of successes until the
experiment is stopped (integer but can be
This distribution has also been called both the inverse Markov-Pólya distribution and the
extended to real)
generalized Waring distribution[1] or simply abbreviated as the BNB distribution. A shifted form of
the distribution has been called the beta-Pascal distribution.[1] Support
PMF
If parameters of the beta distribution are and , and if

Mean

where
Variance

then the marginal distribution of is a beta negative binomial distribution: Skewness

In the above, is the negative binomial distribution and is the beta distribution. MGF does not exist
CF

Definition and derivation

where is the gamma function and
is the hypergeometric function.
Denoting the densities of the negative binomial and beta distributions
respectively, we obtain the PMF of the BNB distribution by marginalization:

Noting that the integral evaluates to:

we can arrive at the following formulas by relatively simple manipulations.

If is an integer, then the PMF can be written in terms of the beta function,:

More generally, the PMF can be written

or

PMF expressed with Gamma

Using the properties of the Beta function, the PMF with integer can be rewritten as:

More generally, the PMF can be written as

PMF expressed with the rising Pochammer symbol

The PMF is often also presented in terms of the Pochammer symbol for integer
Properties

Factorial Moments

The k-th factorial moment of a beta negative binomial random variable X is defined for and in this case is equal to

Non-identifiable

The beta negative binomial is non-identifiable which can be seen easily by simply swapping and in the above density or characteristic function and noting that
it is unchanged. Thus estimation demands that a constraint be placed on , or both.

Relation to other distributions

The beta negative binomial distribution contains the beta geometric distribution as a special case when either or . It can therefore approximate the
geometric distribution arbitrarily well. It also approximates the negative binomial distribution arbitrary well for large . It can therefore approximate the Poisson
distribution arbitrarily well for large , and .

Heavy tailed

By Stirling's approximation to the beta function, it can be easily shown that for large

which implies that the beta negative binomial distribution is heavy tailed and that moments less than or equal to do not exist.

Beta geometric distribution

The beta geometric distribution is an important special case of the beta negative binomial distribution occurring for . In this case the pmf simplifies to

This distribution is used in some Buy Till you Die (BTYD) models.

Further, when the beta geometric reduces to the Yule–Simon distribution. However, it is more common to define the Yule-Simon distribution in terms of a
shifted version of the beta geometric. In particular, if then .

Beta negative binomial as a Pólya urn model

In the case when the 3 parameters and are positive integers, the Beta negative binomial can also be motivated by an urn model - or more specifically a basic
Pólya urn model. Consider an urn initially containing red balls (the stopping color) and blue balls. 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
variable of observed draws of blue balls 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 blue balls.

By the non-identifiability property, can be equivalently generated with the urn initially containing red balls (the stopping color) and blue balls and stopping
when red balls are observed.

See also
Negative binomial distribution
Dirichlet negative multinomial distribution

Notes
1. Johnson et al. (1993)

References
Johnson, N.L.; Kotz, S.; Kemp, A.W. (1993) Univariate Discrete Distributions, 2nd edition, Wiley ISBN 0-471-54897-9 (Section 6.2.3)
 Kemp, C.D.; Kemp, A.W. (1956) "Generalized hypergeometric distributions, Journal of the Royal Statistical Society, Series B, 18, 202–211
Wang, Zhaoliang (2011) "One mixed negative binomial distribution with application", Journal of Statistical Planning and Inference, 141 (3),
1153-1160 doi:10.1016/j.jspi.2010.09.020 (https://doi.org/10.1016%2Fj.jspi.2010.09.020)

External links
Interactive graphic: Univariate Distribution Relationships (http://www.math.wm.edu/~leemis/chart/UDR/UDR.html)

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