The second problem sheet for classes on the Applied Probability course this term features a long question about the Yule process. This is probably the simplest example of a birth process. It’s named for the British statistician George Udny Yule, though some sources prefer to call it the Yule-Furry process for the American physicist Wendell Furry who used it as a model of a radioactive reaction.
The model is straightforward. At any time there is some number of individuals in the population, and each individual gives birth to an offspring at constant rate , independently from the rest of the population. After a birth has happened, the parent and child evolve independently. In the notation of general birth processes, the birth rate when there are n individuals is .
Note that if we start with two or more individuals, the sizes of the two or more families of descendents evolve as a continuous-time Polya’s urn. The arrivals process speeds up with time, but the jump chain is exactly Polya’s urn. Unsurprisingly, the Yule process can be found embedded in preferential attachment models, and other processes which are based around Polya’s urn with extra information.
This is a discrete, random version of exponential growth. Since the geometric distribution is the discrete analogue of the exponential distribution, we probably shouldn’t be surprised to learn that this is indeed the distribution of the process at some fixed time t, when it is started from a single original ancestor. This is all we care about, since the numbers of descendents from each different original ancestors are independent. In general, the distribution of the population size at some fixed time will be negative binomial, that is, a sum of IID geometric distributions.
The standard method here is to proceed using generating functions. Conditioning on the first splitting time gives two independent copies of the original process over a shorter time-scale. One derives an ODE in time for the generating function evaluated at any particular value z. This can be solved uniquely for each z, and patching together gives the generating function of the distribution at any specific time t, which can be seen to coincide with the corresponding generating function of the geometric distribution with parameter .
So we were trying to decide whether there might be a more heuristic argument for this geometric distribution. The method we came up with is not immediate, but does justify the geometric distribution in a couple of steps. First, we say that the birth times are , so between times there are n individuals, with for concreteness. Then by construction of the birth process, .
We now look at these ‘inter-birth times’ backwards, starting from . Note that is the distribution of the time for the first of n IID clocks to ring. But then, looking backwards, the next inter-birth time is thus the distribution of the time for one of (n-1) IID clocks to ring. So by memorylessness of the exponential distribution (discussed at great length on the first problem sheet), we can actually take these (n-1) clocks to be exactly those of the original n clocks which did not ring first. Continuing this argument, we can show that the first (in the original time direction) inter-birth time corresponds to the time spent waiting for the final clock to ring. Rewriting this observation formally:
To return to justifying the geometric form of the distribution, we need to clarify the easiest relationship between the population size at a fixed size and these birth times. As we are aiming for the geometric distribution, the probability of the event will be most useful. Clearly this event is the same as , and from the description involving maxima of IID exponentials, this is easy to compute as , which is exactly what we want.
There are two interesting couplings hidden in these constructions. On closer inspection they turn out to be essentially the same from two different perspectives.
We have specified the distribution of at (*). Look at this distribution on the right hand side. There is a very natural way to couple these distributions for all n, namely to take some infinite sequence of IID random variables, then use initial sequences of these to generate each of the s as described in (*).
Does this coupling correspond to the use of these IID RVs in the birth process? Well, in fact it doesn’t. Examining the argument, we can see that gives a different inter-birth time for each value of t in the correspondence proposed. Even more concretely, in the birth process, almost surely for each n. This is not true if we take the canonical coupling of (*). Here, if , which happens with high probability for large n, we have in the process of running maxima.
Perhaps more interestingly, we might observe that this birth process gives a coupling of the geometric distributions. If we want to recover the standard parameterisation of the geometric distribution, we should reparameterise time. [And thus generate an essentially inevitable temptation to make some joke about now having a Yule Log process.]
Let’s consider what the standard coupling might be. For a binomial random variable, either on [n] or some more exotic set, as in percolation, we can couple across all values of the parameter by constructing a family independent uniform random variables, and returning a 1 if and so on, where p is the parameter of a specific binomial realisation.
We can do exactly the same here. A geometric distribution can be justified as the first success in a sequence of Bernoulli trials, so again we can replace the relevant Bernoulli distribution with a uniform distribution. Take to be IID U[0,1] random variables. Then, we have:
The equality in distribution holds for any particular value of t by constructing. But it certainly doesn’t hold uniformly in t. Note that if we define as a process, then typically the jumps of this process will be greater than 1, which is forbidden in the Yule process.
So, we have seen that this Yule process, even though its distribution at a fixed time has a standard form, provides a coupling of such distributions that is perhaps slightly surprising.