Exactly computing the tail of the Poisson-binomial distribution

DOI10.1145/3460774MaRDI QIDQ138315zbMATH OpenOpenAlexWikidataFDO

Authors Noah Peres, Andrew Lee, Uri Keich, Noah Peres, Andrew Ray Lee, Uri Keich

Publication date 16 April 2020

Published in ACM Transactions on Mathematical Software (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.07429

exact method exponential shift FFT Poisson-binomial

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Statistics of extreme values; tail inference (62G32) Software, source code, etc. for problems pertaining to probability theory (60-04)

Abstract: We offer ShiftConvolvePoibin, a fast exact method to compute the tail of a Poisson-Binomial distribution (PBD). Our method employs an exponential shift to retain its accuracy when computing a tail probability, and in practice we find that it is immune to the significant relative errors that other methods, exact or approximate, can suffer from when computing very small tail probabilities of the PBD. The accompanying R package is also competitive with the fastest implementations for computing the entire PBD.

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