Hypergeometric distribution


In probability theory and statistics, the hypergeometric distribution is a discrete probability distribution that describes the probability of successes in draws, without replacement, from a finite population of size that contains exactly objects with that feature, wherein each draw is either a success or a failure. In contrast, the binomial distribution describes the probability of successes in draws with replacement.
In statistics, the hypergeometric test uses the hypergeometric distribution to calculate the statistical significance of having drawn a specific successes from the aforementioned population. The test is often used to identify which sub-populations are over- or under-represented in a sample. This test has a wide range of applications. For example, a marketing group could use the test to understand their customer base by testing a set of known customers for over-representation of various demographic subgroups.

Definitions

Probability mass function

The following conditions characterize the hypergeometric distribution:
A random variable follows the hypergeometric distribution if its probability mass function is given by
where
The is positive when.
A random variable distributed hypergeometrically with parameters, and is written and has probability mass function above.

Combinatorial identities

As required, we have
which essentially follows from Vandermonde's identity from combinatorics.
Also note that
This identify can be shown by expressing the binomial coefficients in terms of factorials and rearranging the latter, but it
also follows from the symmetry of the problem. Indeed, consider two rounds of drawing without replacement. In the first round, out of neutral marbles are drawn from an urn without replacement and coloured green. Then the coloured marbles are put back. In the second round, marbles are drawn without replacement and coloured red. Then, the number of marbles with both colours on them has the hypergeometric distribution. The symmetry in and stems from the fact that the two rounds are independent, and one could have started with drawing balls and colouring them red first.

Properties

Working example

The classical application of the hypergeometric distribution is sampling without replacement. Think of an urn with two types of marbles, red ones and green ones. Define drawing a green marble as a success and drawing a red marble as a failure. If the variable N describes the number of all marbles in the urn and K describes the number of green marbles, then N − K corresponds to the number of red marbles. In this example, X is the random variable whose outcome is k, the number of green marbles actually drawn in the experiment. This situation is illustrated by the following contingency table:
drawnnot drawntotal
green marbleskK − kK
red marblesn − kN + k − n − KN − K
totalnN − nN

Now, assume that there are 5 green and 45 red marbles in the urn. Standing next to the urn, you close your eyes and draw 10 marbles without replacement. What is the probability that exactly 4 of the 10 are green? Note that although we are looking at success/failure, the data are not accurately modeled by the binomial distribution, because the probability of success on each trial is not the same, as the size of the remaining population changes as we remove each marble.
This problem is summarized by the following contingency table:
drawnnot drawntotal
green marblesk = 4K − k = 1K = 5
red marblesn − k = 6N + k − n − K = 39N − K = 45
totaln = 10N − n = 40N = 50

The probability of drawing exactly k green marbles can be calculated by the formula
Hence, in this example calculate
Intuitively we would expect it to be even more unlikely that all 5 green marbles will be among the 10 drawn.
As expected, the probability of drawing 5 green marbles is roughly 35 times less likely than that of drawing 4.

Symmetries

Swapping the roles of green and red marbles:
Swapping the roles of drawn and not drawn marbles:
Swapping the roles of green and drawn marbles:

Order of draws

The probability of drawing any set of green and red marbles depends only on the numbers of green and red marbles, not on the order in which they appear; i.e., it is an exchangeable distribution. As a result, the probability of drawing a green marble in the draw is
This is an ex ante probability—that is, it is based on not knowing the results of the previous draws.

Tail bounds

Let and. Then for we can derive the following bounds:
where
is the Kullback-Leibler divergence and it is used that.
If n is larger than N/2, it can be useful to apply symmetry to "invert" the bounds, which give you the following:

Statistical Inference

Hypergeometric test

The hypergeometric test uses the hypergeometric distribution to measure the statistical significance of having drawn a sample consisting of a specific number of successes from a population of size containing successes. In a test for over-representation of successes in the sample, the hypergeometric p-value is calculated as the probability of randomly drawing or more successes from the population in total draws. In a test for under-representation, the p-value is the probability of randomly drawing or fewer successes.
The test based on the hypergeometric distribution is identical to the corresponding one-tailed version of Fisher's exact test. Reciprocally, the p-value of a two-sided Fisher's exact test can be calculated as the sum of two appropriate hypergeometric tests.

Related distributions

Let and.
where is the standard normal distribution function
The following table describes four distributions related to the number of successes in a sequence of draws:
With replacementsNo replacements
Given number of drawsbinomial distributionhypergeometric distribution
Given number of failuresnegative binomial distributionnegative hypergeometric distribution

Multivariate hypergeometric distribution

The model of an urn with green and red marbles can be extended to the case where there are more than two colors of marbles. If there are Ki marbles of color i in the urn and you take n marbles at random without replacement, then the number of marbles of each color in the sample has the multivariate hypergeometric distribution. This has the same relationship to the multinomial distribution that the hypergeometric distribution has to the binomial distribution—the multinomial distribution is the "with-replacement" distribution and the multivariate hypergeometric is the "without-replacement" distribution.
The properties of this distribution are given in the adjacent table, where c is the number of different colors and is the total number of marbles.

Example

Suppose there are 5 black, 10 white, and 15 red marbles in an urn. If six marbles are chosen without replacement, the probability that exactly two of each color are chosen is

Occurrence and applications

Application to auditing elections

typically test a sample of machine-counted precincts to see if recounts by hand or machine match the original counts. Mismatches result in either a report or a larger recount. The sampling rates are usually defined by law, not statistical design, so for a legally defined sample size n, what is the probability of missing a problem which is present in K precincts, such as a hack or bug? This is the probability that k = 0. Bugs are often obscure, and a hacker can minimize detection by affecting only a few precincts, which will still affect close elections, so a plausible scenario is for K to be on the order of 5% of N. Audits typically cover 1% to 10% of precincts, so they have a high chance of missing a problem. For example, if a problem is present in 5 of 100 precincts, a 3% sample has 86% probability that k = 0 so the problem would not be noticed, and only 14% probability of the problem appearing in the sample :
The sample would need 45 precincts in order to have probability under 5% that k = 0 in the sample, and thus have probability over 95% of finding the problem:

Application to Texas hold'em poker

In hold'em poker players make the best hand they can combining the two cards in their hand with the 5 cards eventually turned up on the table. The deck has 52 and there are 13 of each suit.
For this example assume a player has 2 clubs in the hand and there are 3 cards showing on the table, 2 of which are also clubs. The player would like to know the probability of one of the next 2 cards to be shown being a club to complete the flush.

There are 4 clubs showing so there are 9 clubs still unseen. There are 5 cards showing so there are still unseen.
The probability that one of the next two cards turned is a club can be calculated using hypergeometric with and.
The probability that both of the next two cards turned are clubs can be calculated using hypergeometric with and.
The probability that neither of the next two cards turned are clubs can be calculated using hypergeometric with and.

Citations