Efficient computation for the Poisson binomial distribution

Bruce Barrett () and J. Gray

Computational Statistics, 2014, vol. 29, issue 6, 1469-1479

Abstract: Direct construction of the probability distribution function for a Poisson binomial random variable, where success probabilities may vary from trial to trial, requires on the order of $$2^{n}$$ 2 n calculations, and is computationally infeasible for all but modest sized problems. An approach offered by Thomas and Taub (J Stat Comput Simul 14:125–131 1982 ) reduces this effort to approximately $$n^{2}$$ n 2 , which, while certainly an improvement, can still be significant for large values of $$n$$ n . We offer modifications to the method of Thomas and Taub that greatly reduce the computations while still delivering highly accurate results. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Bernoulli trials; Recursive methods; M out of N (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s00180-014-0501-6

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