A Three-Parameter Binomial Approximation

Details A Three-Parameter Binomial Approximation A Three-Parameter Binomial Approximation

2009-06-16

arxiv.org/abs/0906.2855v1

J. Appl. Probab. Volume 46, Number 4 (2009), 1073-1085

Mathematics

Probability

Scientific paper

10.1239/jap/1261670689

We approximate the distribution of the sum of independent but not necessarily identically distributed Bernoulli random variables using a shifted binomial distribution where the three parameters (the number of trials, the probability of success, and the shift amount) are chosen to match up the first three moments of the two distributions. We give a bound on the approximation error in terms of the total variation metric using Stein's method. A numerical study is discussed that shows shifted binomial approximations typically are more accurate than Poisson or standard binomial approximations. The application of the approximation to solving a problem arising in Bayesian hierarchical modeling is also discussed.

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