<p>The negative binomial distribution has been widely used as a more flexible model than the Poisson distribution for count data. However, when the true data-generating process is Poisson, it is often challenging to distinguish it from a negative binomial distribution with extreme parameter values, and existing maximum likelihood estimation procedures for the negative binomial distribution may fail or produce unstable estimates. To address this issue, we develop a new algorithm for computing the maximum likelihood estimate of negative binomial parameters, which is more efficient and more accurate than existing methods. We further extend negative binomial distributions with a new parameterization to cover Poisson distributions as a special class. We provide theoretical justifications showing that, when applied to a Poisson data, the estimated parameters of the extended negative binomial distribution can consistently recover the true Poisson distribution.</p>

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From Poisson observations to fitted negative binomial distribution

  • Yingying Yang,
  • Niloufar Dousti Mousavi,
  • Zhou Yu,
  • Jie Yang

摘要

The negative binomial distribution has been widely used as a more flexible model than the Poisson distribution for count data. However, when the true data-generating process is Poisson, it is often challenging to distinguish it from a negative binomial distribution with extreme parameter values, and existing maximum likelihood estimation procedures for the negative binomial distribution may fail or produce unstable estimates. To address this issue, we develop a new algorithm for computing the maximum likelihood estimate of negative binomial parameters, which is more efficient and more accurate than existing methods. We further extend negative binomial distributions with a new parameterization to cover Poisson distributions as a special class. We provide theoretical justifications showing that, when applied to a Poisson data, the estimated parameters of the extended negative binomial distribution can consistently recover the true Poisson distribution.