Date: January 24, 2021

Topic: Multinomial distribution

Recall

How do you sample from a multinomial distribution?

What is the probability mass function for a multinomial distribution?

Definition

The multinomial distribution is a joint probability distribution that is sampled whenever you do $n$ trials in which each trial can have one of $k$ possible, mutually-exclusive outcomes. The $k$ random variables that are generated when this distribution is sampled count the number of trials that were equal to each outcome. This definition is explained in the video below:

https://www.youtube.com/watch?v=T88yLmrYYZg&t=411s

Joint probability mass function

The joint probability mass function for the multinomial distribution is given by:

<aside> 💡 $P(X_1=x_1 \wedge X_2 = x_2 \wedge \dots \wedge X_k = x_k ) = \frac{n!}{\prod_{i=1}^k x_i!} \prod_{i=1}^k p_i^{x_i}$

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$p_i$ here is the probability of observing outcome $i$ in a single trial and you thus need to have:

$\sum_{i=1}^k p_i =1$

n, meanwhile, is the total number of trials performed and must therefore satisfy:

$n = \sum_{i=1}^k x_i$

<aside> 📌 SUMMARY: To sample from the multinomial distribution you perform $n$ trials that have $k$ possible outcomes and count the number of times each of the various outcomes appears.

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