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+---
+title: "Binomial distribution"
+firstLetter: "B"
+publishDate: 2021-02-26
+categories:
+- Statistics
+- Mathematics
+
+date: 2021-02-25T21:08:52+01:00
+draft: false
+markup: pandoc
+---
+
+# Binomial distribution
+
+The **binomial distribution** is a discrete probability distribution
+describing a **Bernoulli process**: a set of independent $N$ trials where
+each has only two possible outcomes, "success" and "failure",
+the former with probability $p$ and the latter with $q = 1 - p$.
+The binomial distribution then gives the probability
+that $n$ out of the $N$ trials succeed:
+
+$$\begin{aligned}
+    \boxed{
+        P_N(n) = \binom{N}{n} \: p^n (1 - p)^{N - n}
+    }
+\end{aligned}$$
+
+The first factor is known as the **binomial coefficient**, which describes the
+number of microstates (i.e. permutations) that have $n$ successes out of $N$ trials.
+These happen to be the coefficients in the polynomial $(a + b)^N$,
+and can be read off of Pascal's triangle.
+It is defined as follows:
+
+$$\begin{aligned}
+    \boxed{
+        \binom{N}{n} = \frac{N!}{n! (N - n)!}
+    }
+\end{aligned}$$
+
+The remaining factor $p^n (1 - p)^{N - n}$ is then just the
+probability of attaining each microstate.
+
+To find the mean number of successes $\mu$,
+the trick is to treat $p$ and $q$ as independent:
+
+$$\begin{aligned}
+    \mu
+    &= \sum_{n = 0}^N n \binom{N}{n} p^n q^{N - n}
+    = \sum_{n = 0}^N \binom{N}{n} \Big( p \pdv{(p^n)}{p} \Big) q^{N - n}
+    \\
+    &= p \pdv{p} \sum_{n = 0}^N \binom{N}{n} p^n q^{N - n}
+    = p \pdv{p} (p + q)^N
+    = N p (p + q)^{N - 1}
+\end{aligned}$$
+
+By inserting $q = 1 - p$, we find the following expression for the mean:
+
+$$\begin{aligned}
+    \boxed{
+        \mu = N p
+    }
+\end{aligned}$$
+
+Next, we use the same trick to calculate $\overline{n^2}$
+(the mean of the squared number of successes):
+
+$$\begin{aligned}
+    \overline{n^2}
+    &= \sum_{n = 0}^N n^2 \binom{N}{n} p^n q^{N - n}
+    = \sum_{n = 0}^N n \binom{N}{n} \Big( p \pdv{p} \Big)^2 p^n q^{N - n}
+    \\
+    &= \Big( p \pdv{p} \Big)^2 \sum_{n = 0}^N \binom{N}{n} p^n q^{N - n}
+    = \Big( p \pdv{p} \Big)^2 (p + q)^N
+    \\
+    &= N p \pdv{p} p (p + q)^{N - 1}
+    = N p \big( (p + q)^{N - 1} + (N - 1) p (p + q)^{N - 2} \big)
+    \\
+    &= N p + N^2 p^2 - N p^2
+\end{aligned}$$
+
+Using this and the earlier expression for $\mu$, we find the variance $\sigma^2$:
+
+$$\begin{aligned}
+    \sigma^2
+    &= \overline{n^2} - \mu^2
+    = N p + N^2 p^2 - N p^2 - N^2 p^2
+    = N p (1 - p)
+\end{aligned}$$
+
+Once again, by inserting $q = 1 - p$, we find the following expression for the variance:
+
+$$\begin{aligned}
+    \boxed{
+        \sigma^2 = N p q
+    }
+\end{aligned}$$
+
+As $N$ grows to infinity, the binomial distribution
+turns into the continuous normal distribution.
+We demonstrate this by taking the Taylor expansion of its
+natural logarithm $\ln\!\big(P_N(n)\big)$ around the mean $\mu = Np$:
+
+$$\begin{aligned}
+    \ln\!\big(P_N(n)\big)
+    &= \sum_{m = 0}^\infty \frac{(n - \mu)^m}{m!} D_m(\mu)
+    \quad \mathrm{where} \quad
+    D_m(n) = \dv[m]{\ln\!\big(P_N(n)\big)}{n}
+\end{aligned}$$
+
+We use Stirling's approximation to calculate all these factorials:
+
+$$\begin{aligned}
+    \ln\!\big(P_N(n)\big)
+    &= \ln(N!) - \ln(n!) - \ln\!\big((N - n)!\big) + n \ln(p) + (N - n) \ln(q)
+    \\
+    &\approx \ln(N!) - n \big( \ln(n)\!-\!\ln(p)\!-\!1 \big) - (N\!-\!n) \big( \ln(N\!-\!n)\!-\!\ln(q)\!-\!1 \big)
+\end{aligned}$$
+
+For $D_0(\mu)$, we need to use a stronger version of Stirling's approximation
+to get a non-zero result. We take advantage of $N - N p = N q$:
+
+$$\begin{aligned}
+    D_0(\mu)
+    &= \ln(N!) - \ln\!\big((N p)!\big) - \ln\!\big((N q)!\big) + N p \ln(p) + N q \ln(q)
+    \\
+    &= \Big( N \ln(N) - N + \frac{1}{2} \ln(2\pi N) \Big)
+    - \Big( N p \ln(N p) - N p + \frac{1}{2} \ln(2\pi N p) \Big) \\
+    &\qquad - \Big( N q \ln(N q) - N q + \frac{1}{2} \ln(2\pi N q) \Big)
+    + N p \ln(p) + N q \ln(q)
+    \\
+    &= N \ln(N) - N (p + q) \ln(N) + N (p + q) - N - \frac{1}{2} \ln(2\pi N p q)
+    \\
+    &= - \frac{1}{2} \ln(2\pi N p q)
+    = \ln\!\Big( \frac{1}{\sqrt{2\pi \sigma^2}} \Big)
+\end{aligned}$$
+
+Next, we expect that $D_1(\mu) = 0$, because $\mu$ is the maximum.
+This is indeed the case:
+
+$$\begin{aligned}
+    D_1(n)
+    &= - \big( \ln(n)\!-\!\ln(p)\!-\!1 \big) + \big( \ln(N\!-\!n)\!-\!\ln(q)\!-\!1 \big) - 1 + 1
+    \\
+    &= - \ln(n) + \ln(N - n) + \ln(p) - \ln(q)
+    \\
+    D_1(\mu)
+    &= \ln(N q) - \ln(N p) + \ln(p) - \ln(q)
+    = \ln(N p q) - \ln(N p q) 
+    = 0
+\end{aligned}$$
+
+For the same reason, we expect that $D_2(\mu)$ is negative
+We find the following expression:
+
+$$\begin{aligned}
+    D_2(n)
+    &= - \frac{1}{n} - \frac{1}{N - n}
+    \qquad
+    D_2(\mu)
+    = - \frac{1}{Np} - \frac{1}{Nq}
+    = - \frac{p + q}{N p q}
+    = - \frac{1}{\sigma^2}
+\end{aligned}$$
+
+The higher-order derivatives tend to zero for large $N$, so we discard them:
+
+$$\begin{aligned}
+    D_3(n)
+    = \frac{1}{n^2} - \frac{1}{(N - n)^2}
+    \qquad
+    D_4(n)
+    = - \frac{2}{n^3} - \frac{2}{(N - n)^3}
+    \qquad
+    \cdots
+\end{aligned}$$
+
+Putting everything together, for large $N$,
+the Taylor series approximately becomes:
+
+$$\begin{aligned}
+    \ln\!\big(P_N(n)\big)
+    \approx D_0(\mu) + \frac{(n - \mu)^2}{2} D_2(\mu)
+    = \ln\!\Big( \frac{1}{\sqrt{2\pi \sigma^2}} \Big) - \frac{(n - \mu)^2}{2 \sigma^2}
+\end{aligned}$$
+
+Thus, as $N$ goes to infinity, the binomial distribution becomes a Gaussian:
+
+$$\begin{aligned}
+    \boxed{
+        \lim_{N \to \infty} P_N(n) = \frac{1}{\sqrt{2 \pi \sigma^2}} \exp\!\Big(\!-\!\frac{(n - \mu)^2}{2 \sigma^2} \Big)
+    }
+\end{aligned}$$