Economics - Research Publications

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Type: Journal Article × Start date: 2005 × Author: Loertscher, Simon × Author: Muir, Ellen × Author: Taylor, Peter ×

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    A general noncentral hypergeometric distribution
    Loertscher, S ; Muir, EV ; Taylor, PG (Marcel Dekker Inc., 2017)
    We construct a general non-central hypergeometric distribution, which models biased sampling without replacement. Our distribution is constructed from the combined order statistics of two samples: one of independent and identically distributed random variables with absolutely continuous distribution F and the other of independent and identically distributed random variables with absolutely continuous distribution G. The distribution depends on F and G only through F○G( − 1) (F composed with the quantile function of G), and the standard hypergeometric distribution and Wallenius’ non-central hypergeometric distribution arise as special cases. We show in efficient economic markets the quantity traded has a general non-central hypergeometric distribution.