Let N ∼ Poisson(λ). You flip a coin a random number of times N. Each time a head will come with probability p, independently of N. Let X be the (random) number of heads outcomes and Y be the (also random) number of tails. Find the distribution of X and Y. Are they independent? Give conditional distribution of N if X = k.

My idea is to condition on value of N and surely the number of heads of a coin toss is a binomial RV. So it's posisble to sum up the conditional probabilities of all values of N, i believe. X and Y are surely independent but I have trouble concluding this (since poisson distributions are uncorrelated) Any hints would be appreciated for second or third one. Thanks in advance.

  • 1
    $\begingroup$ Hint: Simply follow your idea for real. $\endgroup$ – Did Apr 30 '18 at 8:56
  • $\begingroup$ What a hint! super super helpful. $\endgroup$ – james black May 1 '18 at 5:53
  • $\begingroup$ Did you? Why not? $\endgroup$ – Did May 1 '18 at 6:07

Let $q:=1-p$ and let $h,t$ denote nonnegative integers.


$$P(X=h\wedge Y=t)=P(X=h\wedge Y=t\wedge N=t+h)=$$$$P(X=h\wedge Y=t\mid N=t+h)P(N=t+h)=\binom{t+h}{h}p^hq^te^{-\lambda}\frac{\lambda^{t+h}}{(t+h)!}=$$$$e^{-\lambda}\frac{(\lambda p)^h(\lambda q)^t}{h!t!}=e^{-\lambda p}\frac{(\lambda p)^h}{h!}\times e^{-\lambda q}\frac{(\lambda q)^t}{t!}$$

The fact that you can write the probability as function $f(h)g(t)$ is enough already to conclude that $X$ and $Y$ are independent, and makes it easy to find that $X$ and $Y$ both have Poisson-distribution with parameters $\lambda p$ and $\lambda q$ respectively. To check yourself you could also find $P(X=h)$ (and likewise $P(Y=t)$) by working out:

$$P(X=h)=\sum_{n=h}^\infty P(X=h\mid N=n)P(N=n)=\sum_{n=h}^\infty\binom{n}hp^hq^{n-h}e^{-\lambda}\frac{\lambda^n}{n!}=\cdots$$

Further we have the equality:$$P\left(N=n\mid X=k\right)P\left(X=k\right)=P\left(N=n\wedge X=k\right)=P\left(X=k\mid N=n\right)P\left(N=n\right)$$

which enables you to find $P(N=n\mid X=k)$.


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