Notes on the Binomial distribution
15.02.2018
Binomial distribution describes the number of successes in a series of n independent identical experiments: X=k if exactly k experiments out of n were successfull, while others were not.
Parameters: n – number of experiments, p – probability of a success in a single experiment.
Values: {0,1,2,…,n}.
Probability mass function: P(X=k)={n\choose k}p^k(1-p)^{n-k}, \ k=0,1,2,\ldots,n.
Derivation
Let \xi_k, k=1,2,\ldots,n, be the result of k-th experiment, i.e. \xi_k=1 if k-th experiment was successfull, and \xi_k=0 otherwise. Then X=\xi_1+\xi_2+\ldots+\xi_n, By assumption, \xi_1,\ldots,\xi_n are independent and each has a Bernoulli distribution with parameter p. Event \{X=k\} means that exactly k variables of \xi_1\ldots,\xi_n equal to 1 and others are equal to 0. There are {n\choose k} possibilities to choose variables that are equal to 1. Each of them is 1 with probability p, other n-k variables are 0 each with probability 1-p.
Moment generating function: M(t)=(1-p+pe^t)^n
Proof
M(t)=Ee^{t(\xi_1+\ldots+\xi_n)}= using independence =Ee^{t\xi_1}Ee^{t\xi_2}\ldots Ee^{t\xi_n}=(pe^t+1-p)^n
Expectation: EX=np
Variance: V(X)=np(1-p)
Derivation
Expectation is the first derivative M'(0). We have M'(t)=n(pe^t+1-p)^{n-1}pe^t, \ EX=M'(0)=np. Second moment is the second derivative M''(0). We have M''(t)=n(n-1)(pe^t+1-p)^{n-1}p^2e^{2t}+n(pe^t+1-p)^{n-1}pe^t, EX^2=M''(0)=n(n-1)p^2+np. Variance is V(X)=EX^2-(EX)^2=n(n-1)p^2+np-n^2p^2=np(1-p)