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AN IDENTIFICATION PROBLEM IN AN URN AND BALL MODEL WITH HEAVY TAILED DISTRIBUTIONS

Published online by Cambridge University Press:  21 December 2009

Christine Fricker,
Fabrice Guillemin and
Philippe Robert
Christine Fricker
Affiliation:
INRIA Paris–Rocquencourt Domaine de Voluceau 78153 Le Chesnay, France E-mail: christine.fricker@inria.fr
Fabrice Guillemin
Affiliation:
Orange Labs F-22300 Lannion, France E-mail: fabrice.guillemin@orange-ftgroup.com
Philippe Robert
Affiliation:
NRIA Paris–Rocquencourt Domaine de Voluceau 78153 Le Chesnay, France E-mail: philippe.robert@inria.fr
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Abstract

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We consider in this article an urn and ball problem with replacement, where balls are with different colors and are drawn uniformly from a unique urn. The numbers of balls with a given color are independent and identically distributed random variables with a heavy tailed probability distribution—for instance a Pareto or a Weibull distribution. We draw a small fraction p≪1 of the total number of balls. The basic problem addressed in this article is to know to which extent we can infer the total number of colors and the distribution of the number of balls with a given color. By means of Le Cam's inequality and the Chen–Stein method, bounds for the total variation norm between the distribution of the number of balls drawn with a given color and the Poisson distribution with the same mean are obtained. We then show that the distribution of the number of balls drawn with a given color has the same tail as that of the original number of balls. Finally, we establish explicit bounds between the two distributions when each ball is drawn with fixed probability p.

Information

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 24 , Issue 1 , January 2010, pp. 77 - 97
Copyright
Copyright © Cambridge University Press 2009

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