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Probability Cheat Sheet: Distributions

This document provides a cheat sheet summarizing many common probability distributions including the uniform, gamma, geometric, Poisson, normal, exponential, binomial, and their properties such as notation, probability density functions, cumulative distribution functions, expectations, variances, and moment generating functions. It also covers topics such as independent and conditional probabilities, laws of large numbers, central limit theorem, inequalities, and convergence.

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0% found this document useful (0 votes)
355 views2 pages

Probability Cheat Sheet: Distributions

This document provides a cheat sheet summarizing many common probability distributions including the uniform, gamma, geometric, Poisson, normal, exponential, binomial, and their properties such as notation, probability density functions, cumulative distribution functions, expectations, variances, and moment generating functions. It also covers topics such as independent and conditional probabilities, laws of large numbers, central limit theorem, inequalities, and convergence.

Uploaded by

Vinny Maliza
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Probability Cheat Sheet

Distributions
Unifrom Distribution
notation U [a, b]
cdf
x a
b a
for x [a, b]
pdf
1
b a
for x [a, b]
expectation
1
2
(a +b)
variance
1
12
(b a)
2
mgf
e
tb
e
ta
t (b a)
story: all intervals of the same length on the
distributions support are equally probable.
Gamma Distribution
notation Gamma (k, )
pdf

k
x
k1
e
x
(k)
Ix>0
(k) =
_

0
x
k1
e
x
dx
expectation k
variance k
2
mgf (1 t)
k
for t <
1

ind. sum
n

i=1
Xi Gamma
_
n

i=1
ki,
_
story: the sum of k independent
exponentially distributed random variables,
each of which has a mean of (which is
equivalent to a rate parameter of
1
).
Geometric Distribution
notation G(p)
cdf 1 (1 p)
k
for k N
pmf (1 p)
k1
p for k N
expectation
1
p
variance
1 p
p
2
mgf
pe
t
1 (1 p) e
t
story: the number X of Bernoulli trials
needed to get one success. Memoryless.
Poisson Distribution
notation Poisson()
cdf e

i=0

i
i!
pmf

k
k!
e

for k N
expectation
variance
mgf exp
_

_
e
t
1
__
ind. sum
n

i=1
Xi Poisson
_
n

i=1
i
_
story: the probability of a number of events
occurring in a xed period of time if these
events occur with a known average rate and
independently of the time since the last event.
Normal Distribution
notation N
_
,
2
_
pdf
1

2
2
e
(x)
2
/(2
2
)
expectation
variance
2
mgf exp
_
t +
1
2

2
t
2
_
ind. sum
n

i=1
Xi N
_
n

i=1
i,
n

i=1

2
i
_
story: describes data that cluster around the
mean.
Standard Normal Distribution
notation N (0, 1)
cdf (x) =
1

2
_
x

e
t
2
/2
dt
pdf
1

2
e
x
2
/2
expectation
1

variance
1

2
mgf exp
_
t
2
2
_
story: normal distribution with = 0 and
= 1.
Exponential Distribution
notation exp ()
cdf 1 e
x
for x 0
pdf e
x
for x 0
expectation
1

variance
1

2
mgf

t
ind. sum
k

i=1
Xi Gamma (k, )
minimum exp
_
k

i=1
i
_
story: the amount of time until some specic
event occurs, starting from now, being
memoryless.
Binomial Distribution
notation Bin(n, p)
cdf
k

i=0
_
n
i
_
p
i
(1 p)
ni
pmf
_
n
i
_
p
i
(1 p)
ni
expectation np
variance np (1 p)
mgf
_
1 p +pe
t
_
n
story: the discrete probability distribution of
the number of successes in a sequence of n
independent yes/no experiments, each of
which yields success with probability p.
Basics
Comulative Distribution Function
F
X
(x) = P(X x)
Probability Density Function
F
X
(x) =
_

f
X
(t) dt
_

f
X
(t) dt = 1
f
X
(x) =
d
dx
F
X
(x)
Quantile Function
The function X

: [0, 1] R for which for any


p [0, 1], F
X
_
X

(p)

_
p F
X
(X

(p))
F
X
= F
X
E(X

) = E(X)
Expectation
E(X) =
_
1
0
X

(p)dp
E(X) =
_
0

F
X
(t) dt +
_

0
(1 F
X
(t)) dt
E(X) =
_

xf
X
xdx
E(g (X)) =
_

g (x) f
X
xdx
E(aX +b) = aE(X) +b
Variance
Var (X) = E
_
X
2
_
(E(X))
2
Var (X) = E
_
(X E(X))
2
_
Var (aX +b) = a
2
Var (X)
Standard Deviation
(X) =
_
Var (X)
Covariance
Cov (X, Y ) = E(XY ) E(X) E(Y )
Cov (X, Y ) = E((X E(x)) (Y E(Y )))
Var (X +Y ) = Var (X) + Var (Y ) + 2Cov (X, Y )
Correlation Coecient

X,Y
=
Cov (X, Y )

X
,
Y
Moment Generating Function
M
X
(t) = E
_
e
tX
_
E(X
n
) = M
(n)
X
(0)
M
aX+b
(t) = e
tb
M
aX
(t)
Joint Distribution
P
X,Y
(B) = P((X, Y ) B)
F
X,Y
(x, y) = P(X x, Y y)
Joint Density
P
X,Y
(B) =
__
B
f
X,Y
(s, t) dsdt
F
X,Y
(x, y) =
_
x

_
y

f
X,Y
(s, t) dtds
_

f
X,Y
(s, t) dsdt = 1
Marginal Distributions
P
X
(B) = P
X,Y
(B R)
P
Y
(B) = P
X,Y
(R Y )
F
X
(a) =
_
a

f
X,Y
(s, t) dtds
F
Y
(b) =
_
b

f
X,Y
(s, t) dsdt
Marginal Densities
f
X
(s) =
_

f
X,Y
(s, t)dt
f
Y
(t) =
_

f
X,Y
(s, t)ds
Joint Expectation
E((X, Y )) =
__
R
2
(x, y) f
X,Y
(x, y) dxdy
Independent r.v.
P(X x, Y y) = P(X x) P(Y y)
F
X,Y
(x, y) = F
X
(x) F
Y
(y)
f
X,Y
(s, t) = f
X
(s) f
Y
(t)
E(XY ) = E(X) E(Y )
Var (X +Y ) = Var (X) + Var (Y )
Independent events:
P(A B) = P(A) P(B)
Conditional Probability
P(A | B) =
P(A B)
P(B)
bayes P(A | B) =
P(B | A) P(A)
P(B)
Conditional Density
f
X|Y =y
(x) =
f
X,Y
(x, y)
f
Y
(y)
f
X|Y =n
(x) =
f
X
(x) P(Y = n | X = x)
P(Y = n)
F
X|Y =y
=
_
x

f
X|Y =y
(t) dt
Conditional Expectation
E(X | Y = y) =
_

xf
X|Y =y
(x) dx
E(E(X | Y )) = E(X)
P(Y = n) = E(I
Y =n
) = E(E(I
Y =n
| X))
Sequences and Limits
limsup An = {An i.o.} =

_
m=1

_
n=m
An
liminf An = {An eventually} =

_
m=1

_
n=m
An
liminf An limsup An
(limsup An)
c
= liminf A
c
n
(liminf An)
c
= limsup A
c
n
P(limsup An) = lim
n
P
_

_
n=m
An
_
P(liminf An) = lim
n
P
_

_
n=m
An
_
Borel-Cantelli Lemma

n=1
P(An) < P(limsup An) = 0
And if An are independent:

n=1
P(An) = P(limsup An) = 1
Convergence
Convergence in Probability
notation Xn
p
X
meaning lim
n
P(|Xn X| > ) = 0
Convergence in Distribution
notation Xn
D
X
meaning lim
n
Fn (x) = F (x)
Almost Sure Convergence
notation Xn
a.s.
X
meaning P
_
lim
n
Xn = X
_
= 1
Criteria for a.s. Convergence
Nn > N : P(|Xn X| < ) > 1
P(limsup (|Xn X| > )) = 0

n=1
P(|Xn X| > ) < (by B.C.)
Convergence in L
p
notation Xn
Lp
X
meaning lim
n
E(|Xn X|
p
) = 0
Relationships
Lq

q>p1
Lp

a.s.

p

D

If Xn
D
c then Xn
p
c
If Xn
p
X then there exists a subsequence
n
k
s.t. Xn
k
a.s.
X
Laws of Large Numbers
If Xi are i.i.d. r.v.,
weak law Xn
p
E(X1)
strong law Xn
a.s.
E(X1)
Central Limit Theorem
Sn n

n
D
N (0, 1)
If tn t, then
P
_
Sn n

n
tn
_
(t)
Inequalities
Markovs inequality
P(|X| t)
E(|X|)
t
Chebyshevs inequality
P(|X E(X)| )
Var (X)

2
Chernos inequality
Let X Bin(n, p); then:
P(X E(X) > t (X)) < e
t
2
/2
Simpler result; for every X:
P(X a) M
X
(t) e
ta
Jensens inequality
for a convex function, (E(X)) E((X))
Miscellaneous
E(Y ) <

n=0
P(Y > n) < (Y 0)
E(X) =

n=0
P(X > n) (X N)
X U (0, 1) ln X exp (1)
Convolution
For ind. X, Y , Z = X +Y :
f
Z
(z) =
_

f
X
(s) f
Y
(z s) ds
Kolmogorovs 0-1 Law
If A is in the tail -algebra F
t
, then P(A) = 0
or P(A) = 1
Ugly Stu
cdf of Gamma distribution:
_
t
0

k
x
k1
e
k
(k 1)!
dx
This cheatsheet was made by Peleg Michaeli in
January 2010, using L
A
T
E
X.
version: 1.01
comments: [email protected]

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