A Generalized Multinomial Distribution from Dependent Categorical Random Variables

Abstract: Categorical random variables are a common staple in machine learning methods and other applications across disciplines. Many times, correlation within categorical predictors exists, and has been noted to have an effect on various algorithm effectiveness, such as feature ranking and random forests. We present a mathematical construction of a sequence of identically distributed but dependent categorical random variables, and give a generalized multinomial distribution to model the probability of counts of such variables.