Scribd
Upload
106 views1 page

The Poisson and Exponential Distributions

The document discusses the Poisson and exponential distributions. The Poisson distribution describes the number of occurrences in an interval of time. The exponential distribution describes the length of time between occurrences. If events occur at a rate λ per unit of time, the Poisson distribution with parameter λt describes the number of occurrences in t units of time, and the exponential distribution with parameter λ describes the time between occurrences.

Uploaded by

tesserato
Copyright
© © All Rights Reserved
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
106 views1 page

The Poisson and Exponential Distributions

The document discusses the Poisson and exponential distributions. The Poisson distribution describes the number of occurrences in an interval of time. The exponential distribution describes the length of time between occurrences. If events occur at a rate λ per unit of time, the Poisson distribution with parameter λt describes the number of occurrences in t units of time, and the exponential distribution with parameter λ describes the time between occurrences.

Uploaded by

tesserato
Copyright
© © All Rights Reserved
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
You are on page 1/ 1

Published by the Applied Probability Trust

Applied Probability Trust 2005


123

The Poisson and


Exponential Distributions
JOHN C. B. COOPER

1. Introduction
The Poisson distribution is a discrete distribution with probability mass function
P (x) =

e x
,
x!

where x = 0, 1, 2, . . . , the mean of the distribution is denoted by , and e is the exponential.


The variance of this distribution is also equal to .
The exponential distribution is a continuous distribution with probability density function
f (t) = et ,
where t 0 and the parameter > 0 . The mean and standard deviation of this distribution
are both equal to 1/ .
The cumulative exponential distribution is

F (t) =
et dt = 1 et .
(1)
0

2. Relation between the Poisson and exponential distributions


An interesting feature of these two distributions is that, if the Poisson provides an appropriate
description of the number of occurrences per interval of time, then the exponential will provide
a description of the length of time between occurrences. To understand this, consider that, in
a Poisson process, if events occur on average at the rate of per unit of time, then there will
be on average t occurrences per t units of time. The Poisson distribution describing this
process is therefore P (x) = et (t)x /x!, from which P (x = 0) = et is the probability of
no occurrences in t units of time.
Another interpretation of P (x = 0) = et is that this is the probability that the time, T ,
to the rst occurrence is greater than t , i.e.
P (T > t) = P (x = 0 | = t) = et .
Conversely, the probability that an event does occur during t units of time is given by
P (T t) = 1 P (x = 0 | = t) = 1 et .
Note that this is the cumulative exponential distribution which, when differentiated with respect
to t , produces the probability density function of the exponential distribution f (t) = et .

You might also like