Abstract
Let $I_1,I_2,\ldots,I_n$ be independent Bernoulli random variables with $\mathbb{P}(I_i=1)=1-\mathbb{P}(I_i=0) =p_i$, $1\le i\le n$, and $W=\sum_{i=1}^nI_i$, $\lambda=\mathbb{E}W=\sum_{i=1}^np_i$. It~is well known that if~$p_i$'s are the same, then~$W$ follows a~binomial distribution and if~$p_i$'s are small, then the distribution of~$W$, denoted by~$\mathcal{L} W$, can be well approximated by the $\mathop{\mathrm{Poisson}}(\lambda)$. Define $r=\lfloor\lambda\rfloor$, the greatest integer~$\le\lambda$, and set $\delta=\lambda-\lfloor \lambda \rfloor$, and~$\kappa$ be the least integer more than or equal to $\max\{\lambda^2/(r-1-(1+\delta)^2),n\}$. In this paper, we prove that, if $r>1+(1+\delta)^2$, then \[ d_\kappa<d_{\kappa+1}<d_{\kappa+2}<\cdots<d_{\mathit{TV}} (\mathcal{L} W,\mbox{Poisson}(\lambda)), \] where $d_{\mathit{TV}}$ denotes the total variation metric and $d_m=d_{\mathit{TV}}(\mathcal{L} W,\break\Bi(m,\lambda/m))$, $m\ge\kappa$. Hence, in modelling the distribution of the sum of Bernoulli trials, Binomial approximation is generally better than Poisson approximation.
Citation
K. P. Choi. Aihua Xia. "Approximating the number of successes in independent trials: Binomial versus Poisson." Ann. Appl. Probab. 12 (4) 1139 - 1148, November 2002. https://doi.org/10.1214/aoap/1037125856
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