4.

4 Comparison of two or more Poisson means

The connection between log-linear models for frequencies and multinomial response models for proportions stems from the fact that the binomial and multinomial distributions can be derived from a set of independent Poisson random variables conditionally on their total being fixed. Suppose that Y = (Y1 , Y2 ,K, YK ) are independent Poisson random variables with means 1 , 2 , K , k , log j = 0 + 1 x j , and that we require to test the composite null hypothesis

( )

H 0 : 1 = 2 = L = k = exp( 0 ) H 0 : 1 = 0

H 0 : log(1 ) = log( 2 ) = L = log( k ) = 0

where x j s are given constants. The alternative hypotheses under consideration are

H a : 1 > 0 ,

or

H a : 1 < 0

or

H a : 1 0 .

Standard theory of significance testing leads to consideration of the test statistic T (Y ) =

k

x Y
j =1 j

conditionally on the observed value of

m = Y j , which is the sufficient statistic for 0 . For example,

j =1

as H a

: 1 > 0

, the test is

T ( y ) = C0 (m ), reject H 0 with probabilit y w(m ) T ( y ) < C0 (m ), do not reject H 0

1

T ( y ) > C0 (m ), reject H 0

given m = solving

Y
j =1

where

C0 (m)

and

w(m)

can be obtained by

k ( ) ( ) P T Y C m | Y m , H is true > = j 0 0 j =1

+ w (m )P T (Y ) = C 0 (m ) | Y j
j =1

= m , H 0 is true =

and

w(m)

is some constant depending on m.

Note that under null hypothesis, we regard the data as having multinomial distribution with index m and parameter vector

1 1 1 , , K , independent of 0 , i.e., k k k
P Y1 = y 1 , K , Y k = y k | = m!
k

j =1

Yj = m,H
k

is true

y j!

j =1

1 k

j =1

yj m! 1 j =1 = k k y j! j =1

m! y j!
j =1

1 km

Note:
Let Y = (Y1 , Y2 ,K, YK ) has the probability density function or probability distribution function
r f ( y ) = f ( y1 , y 2 , K , y k ) = C ( , ) exp T ( y ) + j M j ( y ) h ( y ) j =1

where

= (1 , 2 ,K, r ) and M ( y ) = (M1 ( y ), M 2 ( y ), K, M r ( y )) .

2

Then, for testing

H0 : 0 v.s. H a : > 0 , an UMP (uniformly M (Y ) = m

is

most powerful) unbiased level-test given

T ( y ) = C0 (m ), reject H 0 with probabilit y w(m ) T ( y ) < C0 (m ), do not reject H 0

T ( y ) > C0 (m ), reject H 0

where the constants obtained by solving

C0 (m)

and

w(m)

depending on m can be

+ w (m )P (T (Y ) = C 0 (m ) | M (Y ) = m , H 0 is true ) =
Therefore, for independent Poisson random variables Y1 , Y2 , K , Yk , with means 1 , 2 , K , k , log j = 0 + 1 x j , the probability distribution function is

P (T (Y ) > C 0 (m ) | M (Y ) = m , H 0 is true )

( )

f (y ) =

j =1

yj

y j!

k k yj exp log = exp j j j =1 j =1 1

j =1

y j!

k k ( ) exp log = exp y j j j j =1 j =1

j =1

y j! 1

k k = exp j exp y j ( 0 + 1 x j ) j =1 j =1

j =1

y j! 1

k k k = exp exp x y + y j 1 0 j j j j =1 j =1 j =1

j =1

y j!

= C ( 1 , 0 ) exp [ 1T ( y ) + 0 M ( y )]h ( y )
3

where
k , T ( y ) = C ( 1 , 0 ) = exp j j =1

x
j =1

y j , M (y ) =

y
j =1

, h(y ) =

y
j =1

Note:
Under
E [T (Y

H0 : 1 = 0 , the unconditional moments of T (Y )

)] =
E x jY j j =1
k

are

j =1

x j E (Y j ) =

j =1

x j exp ( 0 )

j =1

xj

yj j =1 k
k

since Also,

E (Y j ) = j = exp( 0 ) and

y
j =1

is the estimate of

k y j k k k k 2 j = 1 2 = x j Var(Y j ) = x 2 ( ) Var[T (Y )] = Var x Y x exp j j j j 0 k j =1 j =1 j =1 j =1

Note that the unconditional moments of

T (Y ) depend on 0 . On
y = m

the other hand, under the null hypothesis, denote

Y =

j =1

Y j, y =

j =1

Then,
k E [T (Y ) | Y = y ] = E x jY j | Y = y = j =1 k y = x j k j =1 =

j =1

x j E (Y j | Y = y )

j =1

x j

yj j =1 k
k

since Y j | Y = y ~ B y ,

y 1 E (Y j | Y = y ) = . k k
of the

The unconditio

estimate

Var [T (Y ) | Y = y ] k | x Y Y y = Var = j j j =1 = Var (x j Y j | Y = y ) + 2 Cov (x j Y j , xiYi | Y = y )

k j =1 k j <i

1 1 1 1 = x y 1 + 2 xi x j y k k k k j =1 j <i
2 j

Q Cov (Y j , Yi | Y = y ) 1 1 = y , j i k k

y k 2 1 1 = x j 1 2 xi x j k j =1 k k j <i k 2 1 k 2 2 + x x x x j i j j k j <i j =1 j =1 2 y k 2 1 k x j x j = k j =1 k j =1 k xj y k 2 j =1 2 = x j kx denote x = k k j =1 k y 2 = (x j x ) k j =1 = y k k yj k 2 j =1 = (x j x ) k j =1

5

nal variance of

T (Y ) is quite different from the exact conditional

variance. The conditional variance is unaffected by the addition of a constant to each component of

x j s.

The Poisson log-likelihood function for ( 0 , 1 ) in this problem is

l Y ( 0 , 1 ) =
k

(y
k j =1 j

log (

) )
j

[y (
j =1 k j =1

+ 1 x j ) exp ( 0 + 1 x j )
k

= 0 y j + 1 x j y j
j =1

exp (
k j =1

+ 1x j )

Denote =

exp (
k j =1

+ 1 x j ) = j .
k j =1

Then, the log-likelihood for ( , 1 ) becomes

lY ( , 1 ) 0 y j + 1 x j y j exp ( 0 + 1 x j )
k k k j =1 j =1 j =1

= 0 y + 1 x j y j
j =1

= y log ( ) + 1 x j y j ( y log ( ) 0 y )
j =1 k

= y log ( ) + 1 x j y j y log exp ( ) j =1 0 k k = y log ( ) + 1 x j y j y log exp ( 1 x j ) j =1 j =1 lY ( ) + lY |Y ( 1 )

6

where

l Y (

y log ( )

is the Poisson log-likelihood for based on m = y = Y ~ P( ) and

l Y | Y ( 1 ) 1

j =1

k x j y j y log exp ( 1 x j =1

is the multinomial log-likelihood for 1 based on conditional distribution, Y1 , K, Yk | Y = m ~ M(m, 1 , K, k ) , M(m, 1 , K, k ) is a multinomial distribution with index m and parameters

j =

exp(1 x j )

exp(1x j )
k j =1

Note:
The Poisson marginal likelihood based on Y mainly depends only on while the multinomial conditional likelihood based on

Y1 ,K,Yk | Y depends only on 1 . Provided that no information is

available concerning the value of 0 and consequently of , then all of the information concerning 1 is in the conditional likelihood based on Y1 ,K,Yk | Y .

Note:
The Fishers information for ( , 1 ) is

1 0 k 2 0 j (x j x ) j =1 and these parameters are said to be orthogonal. Under suitable

must be approximately and limiting conditions, the estimate 1

independent.