IngentaConnect A useful distribution for fitting discrete data: revival of the C...

Authors: Galit Shmueli¹; Thomas P. Minka²; Joseph B. Kadane²; Sharad Borle³; Peter Boatwright²

Source: Journal of the Royal Statistical Society: Series C (Applied Statistics), Volume 54, Number 1, January 2005 , pp. 127-142(16)

Publisher: Blackwell Publishing

Abstract:

Summary.

A useful discrete distribution (the Conway–Maxwell–Poisson distribution) is revived and its statistical and probabilistic properties are introduced and explored. This distribution is a two-parameter extension of the Poisson distribution that generalizes some well-known discrete distributions (Poisson, Bernoulli and geometric). It also leads to the generalization of distributions derived from these discrete distributions (i.e. the binomial and negative binomial distributions). We describe three methods for estimating the parameters of the Conway–Maxwell–Poisson distribution. The first is a fast simple weighted least squares method, which leads to estimates that are sufficiently accurate for practical purposes. The second method, using maximum likelihood, can be used to refine the initial estimates. This method requires iterations and is more computationally intensive. The third estimation method is Bayesian. Using the conjugate prior, the posterior density of the parameters of the Conway–Maxwell–Poisson distribution is easily computed. It is a flexible distribution that can account for overdispersion or underdispersion that is commonly encountered in count data. We also explore two sets of real world data demonstrating the flexibility and elegance of the Conway–Maxwell–Poisson distribution in fitting count data which do not seem to follow the Poisson distribution.

Keywords: Conjugate family; Conway–Maxwell–Poisson distribution; Estimation; Exponential family; Overdispersion; Underdispersion

Document Type: Research article

DOI: 10.1111/j.1467-9876.2005.00474.x

Affiliations: 1: University of Maryland, College Park, USA 2: Carnegie Mellon University, Pittsburgh, USA 3: Rice University, Houston, USA

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A useful distribution for fitting discrete data: revival of the Conway–Maxwell–Poisson distribution