Geometric Distribution

A BN models the total number of “success” events in n trails. What

if we are interested in the first time of getting a “success” outcome.

Definition 18
A r.v. X is said to have a geometric distribution with parameter ✓,
denoted by GM(✓), if its pf is given by

fX (x) = P(X = x) = (1 ✓)x · ✓, x = 0, · · ·

I In the above definition, X records the number of “failures” before

the first “success”.
If X = x, that means the first x trails are all “failure” events
((1 ✓) · (1 ✓) · · · (1 ✓) = (1 ✓)x ) and the (x + 1)-th trail is
“success” (with probability ✓).
I ⌦ = {0, 1, 2, · · · }
I One may define X as the number of trails at the first “success”,
and under this definition, X also follows a geometric distribution,
with
fX (x) = P(X = x) = (1 ✓)x 1 · ✓, x = 1, · · ·
c Bin Zou MATH 5639 36/64
 Assume X ⇠ GM(✓).
I Check that
1
X
P(X = x) = 1
x=0

1 ✓ 1 ✓
I E(X) = and V(X) =
✓ ✓2
I The mgf of GM(✓) is

✓
MX (t) =
1 (1 ✓)et
I The pgf of GM(✓) is

✓
PX (t) =
1 (1 ✓)t
I fX (0) = ✓ and

fX (x) = (1 ✓) · fX (x 1), x = 1, 2, · · ·

c Bin Zou MATH 5639 37/64

 Negative Binomial Distribution

A geometric distribution models the number of failures before the first

success, but what if we want to know how many failures have
happened before the r-th success?

Definition 19
A nonnegative discrete random variable X has a negative binomial
distribution with parameters r and ✓, denoted by N B(r, ✓), if
✓ ◆
x+r 1 r
fX (x) = P(X = x) = ✓ (1 ✓)x , x = 0, 1, · · ·
r 1

where r 2 N+ (a positive integer) and 0 < ✓ < 1.

Remark: N B(1, ✓) = GM(✓)

c Bin Zou MATH 5639 38/64

 Assume X ⇠ N B(r, ✓), we have

r(1 ✓) r(1 ✓)
I E[X] = and V[X] =
✓  ✓2
r
✓
I mgf MX (t) =
1 (1 ✓)et
 r
✓
I pgf PX (t) =
1 (1 ✓)t
I pf fX (0) = ✓r and

(x + r 1)(1 ✓)
fX (x) = · fX (x 1), x = 1, 2, · · ·
x

c Bin Zou MATH 5639 39/64