CRANPoissonMultinomialMaRDI QIDQ116494FDOQ116494
The Poisson-Multinomial Distribution
Zhengzhi Lin, Yili Hong, Florian Junge, Yueyao Wang
Last update: 7 December 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 1.0, 1.1
Implementation of the exact, normal approximation, and simulation-based methods for computing the probability mass function (pmf) and cumulative distribution function (cdf) of the Poisson-Multinomial distribution, together with a random number generator for the distribution. The exact method is based on multi-dimensional fast Fourier transformation (FFT) of the characteristic function of the Poisson-Multinomial distribution. The normal approximation method uses a multivariate normal distribution to approximate the pmf of the distribution based on central limit theorem. The simulation method is based on the law of large numbers. Details about the methods are available in Lin, Wang, and Hong (2022) <doi:10.1007/s00180-022-01299-0>.
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