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We know that,$ \ \ \ \ cov(x_i,x_j)=-n \ x_i \ x_j$. It can be proven in this manner:

We know, $Var(x_i+x_j)=cov((x_i+x_j),(x_i+x_j))$

Now, $cov((x_i+x_j),(x_i+x_j))=cov(x_i,x_i)+2 \ cov(x_i,x_j) + cov(x_j,x_j)=Var(x_i)+Var(x_j)+2 \ cov(x_i,x_j)$

Since, $Var(x_i+x_j)=n(p_i+p_j)(1-p_i-p_j)$ and $Var(x_i)=np_i$ and $Var(x_j)=np_j$

Hence, $cov(x_i,x_j)=(\frac{1}{2})[Var(x_i+x_j)-Var(x_i)-Var(x_j)]=(\frac{1}{2})[n(p_i+p_j)(1-p_i-p_j)-np_i-np_j]=(\frac{1}{2})[-2 \ n \ p_i p_j]=-n p_i p_j$

Hence, $cov(x_i,x_j)=-n \ p_i \ p_j$

Now I am interested in calculating $cov(x_i^{2},x_j)$ and $cov(x_i^{2},x_j^{2})$. But here I can't use the same method because $Var(x_i^{2}+x_j)$ and $Var(x_i^{2}+x_j^{2})$ will not be binomially distributed.

Reply @kimchi_lover::

Moment generating function for general case $Multinomial(n,k,(p_1,p_2,...,p_k))$ is,

$M_X(t_1,t_2,...,t_k)=E(e^{t_1x_1+t_2x_2+...t_kx_k})=\sum_{x\in s}^{.} \binom{n}{x_1 \ x_2 \ .... \ x_k} [p_1^{x_1}p_2^{x_2}....p_k^{x_k}]e^{[t_1x_1+t_2x_2+....+t_kx_k]}=\sum_{x\in s}^{.} \binom{n}{x_1 \ x_2 \ .... \ x_k}\prod_{i=1}^{k} (p_ie^{t_i})^{x_i}=(\sum_{i=1}^{k} \ p_ie^{t_i})^{n}$

Now in trinomial case (categorization:i,j and rest of possible outcome),

$M_X(t_i,t_j,t_{rest})=(p_ie^{t_i}+p_je^{t_j}+(1-p_i-p_j)e^{t_{rest}})^n$

Now I think formulas for $E(x_i^2x_j)$ and $E(x_i^2x_j^2)$ are,

$E(x_i^{2}x_j)=\left [ \frac{\partial^3 M_X(t_i,t_j,t_{rest})}{\partial t_i^{2}\partial t_j} \right ]_{t_i=0,t_j=0,t_{rest}=0}$ and $E(x_i^{2}x_j^{2})=\left [ \frac{\partial^4 M_X(t_i,t_j,t_{rest})}{\partial t_i^{2}\partial t_j^{2}} \right ]_{t_i=0,t_j=0,t_{rest}=0}$

Then, I get,

$E(x_i^{2}x_j)=n(n-1)(n-2)p_i^{2}p_j+n(n-1)p_ip_j$

$E(x_i^{2}x_j^{2})=n(n-1)(n-2)(n-3)p_i^{2}p_j^{2}+n(n-1)(n-2)p_i^{2}p_j+n(n-1)(n-2)p_ip_j^{2}+n(n-1)p_ip_j$

Now for verification of the above process I also calculated, $E(x_ix_j)=n(n-1)p_ip_j$. Since $cov(x_i,x_j)=E(x_ix_j)-E(x_i)E(x_j)$ and $cov(x_i,x_j)=-np_ip_j$ is well known result, by putting $E(x_i)=np_i$ and $E(x_j)=np_j$, I calculated $E(x_ix_j)$ which gives same expression as above.

Finally I used my simulation data to compare with theoretical results.

Theoretical results,

$E(x_ix_j)=16.8091$, $E(x_i^{2}x_j)=96.6947$ and $E(x_i^{2}x_j^{2})=314.7745$

Experimental results,

$E(x_ix_j)=16.8116$, $E(x_i^{2}x_j)=96.6947$ and $E(x_i^{2}x_j^{2})=314.8296$

Here, $n=10$, $p_i=0.593994150290162$, $p_j=0.314427655266167$. Small mismatch between theoretical result and experimental result can be due to rounding error.

I want know your comment @kimchi lover.

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    $\begingroup$ You neglected to specify what $x_i, x_j$ actually are. $\endgroup$ – Graham Kemp Jul 19 '17 at 11:36
  • $\begingroup$ You could write down a formula for the multivariable moment generating function for the multinomial and look at its Taylor expansion up thru order 4, to get the moments you need. You can pretend your multinomial has 3 categories: $i$, $j$, and other, since you only care about the mixed moments of $x_i$ and $x_j$. $\endgroup$ – kimchi lover Jul 19 '17 at 12:23
  • $\begingroup$ $x_i$ and $x_j$ are $i^{th}$ and $j^{th}$ components of vector $X$ which obeys multinomial distribution with probabilities $(p_1,p_2,..)$ and $n$ is the number of times the elementary experiment is repeated. $\endgroup$ – aranyak Jul 19 '17 at 12:24
  • $\begingroup$ @kimchi_lover :: Can you provide me some reference about how to do that? I am from physics background and don't have detail knowledge about this topics. $\endgroup$ – aranyak Jul 19 '17 at 12:31
  • $\begingroup$ thank you @kimchi_lover $\endgroup$ – aranyak Jul 20 '17 at 5:14

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