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Source of the question: the exercise 6.17 of Statistical Inference Book by Casella and Berger.

Let $X_1,...,X_n$ be iid with geometric distribution

$$P_\theta (X=x)=\theta (1-\theta)^{x-1}, x=1,2,..., 0<\theta<1.$$

Show that $\Sigma X_i$ is sufficient for $\theta$, and find the family of distributions of $\Sigma X_i$.

My attempt:

I use factorization theorem. The joint pmf is

$$P (x_1,...,x_n | \theta)=\theta^n (1-\theta)^{\Sigma x_i-n}=\theta^n (1-\theta)^{-n}(1-\theta)^{\Sigma x_i}$$

The factor that contains $\theta$ depends on the sample $(x_1,...,x_n)$ only through the function $T(X)=\Sigma x_i$. Thus, $\Sigma x_i$ is sufficient for $\theta$.

My question is the the family of distributions of $\Sigma X_i$. I know the answer is negative binomial. But here, I think the idea of this question is to get pmf of $\Sigma X_i$ from the joint pmf above. By factorization theorem $f(X|\theta)=g(T(X)|\theta)h(X)$, we know the kernel of the distribution of the sufficient statistics $T(X)$ is $g(T(X)|\theta)$.

Thus, the kernel of the distribution of $T(X)=\Sigma x_i$ here must be $\theta^n (1-\theta)^{t-n}$.

The answer is $P(\Sigma X_i=t)={t-1\choose n-1} (1-\theta)^{t-n}$. But my gap is I don't know how to get ${t-1\choose n-1}$.

Jackie
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  • In fact it's a question "How to compute the sum of random variables with geometric distribution". See, e.g. https://math.stackexchange.com/questions/548525/how-to-compute-the-sum-of-random-variables-of-geometric-distribution – Botnakov N. Feb 09 '23 at 07:14
  • @BotnakovN. In that way, the solution would have nothing relationship with sufficient statistics. I prefer a way to solve by using my idea. – Jackie Feb 09 '23 at 13:09

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