Hermite distribution

In probability theory and statistics, the Hermite

distribution, named after Charles Hermite, is a discrete
Hermite
probability distribution used to model count data with Probability mass function
more than one parameter. This distribution is flexible in
terms of its ability to allow a moderate over-dispersion in
the data.

The authors Kemp and Kemp [1] have called it "Hermite

distribution" from the fact its probability function and the
moment generating function can be expressed in terms of
the coefficients of (modified) Hermite polynomials.

History
The horizontal axis is the index k, the
The distribution first appeared in the paper Applications number of occurrences. The function is only
of Mathematics to Medical Problems,[2] by Anderson defined at integer values of k. The
Gray McKendrick in 1926. In this work the author connecting lines are only guides for the eye.
explains several mathematical methods that can be Cumulative distribution function
applied to medical research. In one of this methods he
considered the bivariate Poisson distribution and showed
that the distribution of the sum of two correlated Poisson
variables follow a distribution that later would be known
as Hermite distribution.

As a practical application, McKendrick considered the

distribution of counts of bacteria in leucocytes. Using the
method of moments he fitted the data with the Hermite
distribution and found the model more satisfactory than
fitting it with a Poisson distribution.
The horizontal axis is the index k, the
The distribution was formally introduced and published number of occurrences. The CDF is
by C. D. Kemp and Adrienne W. Kemp in 1965 in their discontinuous at the integers of k and flat
work Some Properties of ‘Hermite’ Distribution. The everywhere else because a variable that is
work is focused on the properties of this distribution for Hermite distributed only takes on integer
instance a necessary condition on the parameters and values.
their maximum likelihood estimators (MLE), the analysis
Notation
of the probability generating function (PGF) and how it
can be expressed in terms of the coefficients of Parameters a1 ≥ 0, a2 ≥ 0
(modified) Hermite polynomials. An example they have Support x ∈ { 0, 1, 2, ... }
used in this publication is the distribution of counts of
bacteria in leucocytes that used McKendrick but Kemp PMF
and Kemp estimate the model using the maximum
likelihood method.
CDF
Hermite distribution is a special case of discrete Mean
compound Poisson distribution with only two
Variance
parameters.[3][4]
Skewness
The same authors published in 1966 the paper An
alternative Derivation of the Hermite Distribution.[5] In Ex.
this work established that the Hermite distribution can be kurtosis
obtained formally by combining a Poisson distribution
with a normal distribution. MGF
CF
In 1971, Y. C. Patel[6] did a comparative study of various
PGF
estimation procedures for the Hermite distribution in his
doctoral thesis. It included maximum likelihood, moment
estimators, mean and zero frequency estimators and the method of even points.

In 1974, Gupta and Jain[7] did a research on a generalized form of Hermite distribution.

Definition

Probability mass function

Let X1 and X2 be two independent Poisson variables with parameters a1 and a2 . The probability
distribution of the random variable Y = X1 + 2X2 is the Hermite distribution with parameters a1 and a2 and
probability mass function is given by [8]

where

n = 0, 1, 2, ...
a1, a2 ≥ 0.
(n − 2j)! and j! are the factorials of (n − 2j) and j, respectively.
is the integer part of  n/2.

The probability generating function of the probability mass is,[8]

Notation

When a random variable Y = X1 + 2X2 is distributed by an Hermite distribution, where X1 and X2 are two
independent Poisson variables with parameters a1 and a2 , we write
Properties

Moment and cumulant generating functions

The moment generating function of a random variable X is defined as the expected value of et, as a function
of the real parameter t. For an Hermite distribution with parameters X1 and X2 , the moment generating
function exists and is equal to

The cumulant generating function is the logarithm of the moment generating function and is equal to [4]

If we consider the coefficient of (it)rr! in the expansion of K(t) we obtain the r-cumulant

Hence the mean and the succeeding three moments about it are

Order Moment Cumulant

Skewness

The skewness is the third moment centered around the mean divided by the 3/2 power of the standard
deviation, and for the hermite distribution is,[4]

Always , so the mass of the distribution is concentrated on the left.

Kurtosis

The kurtosis is the fourth moment centered around the mean, divided by the square of the variance, and for
the Hermite distribution is,[4]
The excess kurtosis is just a correction to make the kurtosis of the normal distribution equal to zero, and it is
the following,

Always , or the distribution has a high acute peak around the mean and fatter
tails.

Characteristic function

In a discrete distribution the characteristic function of any real-valued random variable is defined as the
expected value of , where i is the imaginary unit and t ∈ R

This function is related to the moment-generating function via . Hence for this
distribution the characteristic function is,[1]

Cumulative distribution function

The cumulative distribution function is,[1]

Other properties
This distribution can have any number of modes. As an example, the fitted distribution for
McKendrick’s [2] data has an estimated parameters of , . Therefore,
the first five estimated probabilities are 0.899, 0.012, 0.084, 0.001, 0.004.

This distribution is closed under addition or closed under

convolutions.[9] Like the Poisson distribution, the Hermite
distribution has this property. Given two Hermite-
distributed random variables and
, then Y = X1 + X2 follows an Hermite
distribution, .
This distribution allows a moderate overdispersion, so it
Example of a multi-modal data,
can be used when data has this property.[9] A random
variable has overdispersion, or it is overdispersed with Hermite distribution(0.1,1.5).
respect the Poisson distribution, when its variance is
greater than its expected value. The Hermite distribution
 allows a moderate overdispersion because the coefficient of dispersion is always between 1
and 2,

Parameter estimation

Method of moments

The mean and the variance of the Hermite distribution are and ,
respectively. So we have these two equation,

Solving these two equation we get the moment estimators and of a1 and a2 .[6]

Since a1 and a2 both are positive, the estimator and are admissible (≥ 0) only if, .

Maximum likelihood

Given a sample X1 , ..., Xm are independent random variables each having an Hermite distribution we wish
to estimate the value of the parameters and . We know that the mean and the variance of the
distribution are and , respectively. Using these two equation,

We can parameterize the probability function by μ and d

Hence the log-likelihood function is,[9]

where
From the log-likelihood function, the likelihood equations are,[9]

Straightforward calculations show that,[9]

And d can be found by solving,

where

It can be shown that the log-likelihood function is strictly concave in the domain of the
parameters. Consequently, the MLE is unique.

The likelihood equation does not always have a solution like as it shows the following proposition,

Proposition:[9] Let X1 , ..., Xm come from a generalized Hermite distribution with fixed n. Then the MLEs

of the parameters are and if only if , where indicates the

empirical factorial momement of order 2.

Remark 1: The condition is equivalent to where is the

empirical dispersion index
Remark 2: If the condition is not satisfied, then the MLEs of the parameters are and
, that is, the data are fitted using the Poisson distribution.

Zero frequency and the mean estimators

A usual choice for discrete distributions is the zero relative frequency of the data set which is equated to the
probability of zero under the assumed distribution. Observing that and
. Following the example of Y. C. Patel (1976) the resulting system of equations,
We obtain the zero frequency and the mean estimator a1 of and a2 of ,[6]

where , is the zero relative frequency, n > 0

It can be seen that for distributions with a high probability at 0, the efficiency is high.

For admissible values of and , we must have

Testing Poisson assumption

When Hermite distribution is used to model a data sample is important to check if the Poisson distribution is
enough to fit the data. Following the parametrized probability mass function used to calculate the maximum
likelihood estimator, is important to corroborate the following hypothesis,

Likelihood-ratio test

The likelihood-ratio test statistic [9] for hermite distribution is,

Where is the log-likelihood function. As d = 1 belongs to the boundary of the domain of parameters,
under the null hypothesis, W does not have an asymptotic distribution as expected. It can be established
that the asymptotic distribution of W is a 50:50 mixture of the constant 0 and the . The α upper-tail
percentage points for this mixture are the same as the 2α upper-tail percentage points for a ; for instance,
for α = 0.01, 0.05, and 0.10 they are 5.41189, 2.70554 and 1.64237.

The "score" or Lagrange multiplier test

The score statistic is,[9]

where m is the number of observations.

The asymptotic distribution of the score test statistic under the null hypothesis is a distribution. It may be
convenient to use a signed version of the score test, that is, , following asymptotically
a standard normal.

See also
Compound Poisson distribution
Poisson distribution

References
1. Kemp, C.D; Kemp, A.W (1965). "Some Properties of the "Hermite" Distribution". Biometrika.
52 (3–4): 381–394. doi:10.1093/biomet/52.3-4.381 (https://doi.org/10.1093%2Fbiomet%2F5
2.3-4.381).
2. McKendrick, A.G. (1926). "Applications of Mathematics to Medical Problems" (https://doi.org/
10.1017%2Fs0013091500034428). Proceedings of the Edinburgh Mathematical Society.
44: 98–130. doi:10.1017/s0013091500034428 (https://doi.org/10.1017%2Fs001309150003
4428).
3. Huiming, Zhang; Yunxiao Liu; Bo Li (2014). "Notes on discrete compound Poisson model
with applications to risk theory". Insurance: Mathematics and Economics. 59: 325–336.
doi:10.1016/j.insmatheco.2014.09.012 (https://doi.org/10.1016%2Fj.insmatheco.2014.09.01
2).
4. Johnson, N.L., Kemp, A.W., and Kotz, S. (2005) Univariate Discrete Distributions, 3rd
Edition, Wiley, ISBN 978-0-471-27246-5.
5. Kemp, ADRIENNE W.; Kemp C.D (1966). "An alternative derivation of the Hermite
distribution". Biometrika. 53 (3–4): 627–628. doi:10.1093/biomet/53.3-4.627 (https://doi.org/1
0.1093%2Fbiomet%2F53.3-4.627).
6. Patel, Y.C (1976). "Even Point Estimation and Moment Estimation in Hermite Distribution".
Biometrics. 32 (4): 865–873. doi:10.2307/2529270 (https://doi.org/10.2307%2F2529270).
JSTOR 2529270 (https://www.jstor.org/stable/2529270).
7. Gupta, R.P.; Jain, G.C. (1974). "A Generalized Hermite distribution and Its Properties". SIAM
Journal on Applied Mathematics. 27 (2): 359–363. doi:10.1137/0127027 (https://doi.org/10.1
137%2F0127027). JSTOR 2100572 (https://www.jstor.org/stable/2100572).
8. Kotz, Samuel (1982–1989). Encyclopedia of statistical sciences. John Wiley. ISBN 978-
0471055525.
9. Puig, P. (2003). "Characterizing Additively Closed Discrete Models by a Property of Their
Maximum Likelihood Estimators, with an Application to Generalized Hermite Distributions".
Journal of the American Statistical Association. 98 (463): 687–692.
doi:10.1198/016214503000000594 (https://doi.org/10.1198%2F016214503000000594).
JSTOR 30045296 (https://www.jstor.org/stable/30045296). S2CID 120484966 (https://api.se
manticscholar.org/CorpusID:120484966).

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