A general non-central hypergeometric distribution |
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Authors: | Simon Loertscher Peter G Taylor |
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Institution: | 1. Department of Economics, The University of Melbourne, Parkville, VIC, Australia;2. School of Mathematics and Statistics, The University of Melbourne, Parkville, VIC, Australia |
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Abstract: | 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. |
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Keywords: | Efficient market quantity mechanism design non-central hypergeometric distributions sampling without replacement two-sample order statistics Wallenius |
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