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Derivation of The Poisson Distribution

The document derives the Poisson distribution from its definition as a probability per unit time. It does this by: 1) Dividing time into small intervals and calculating the probability of no events in each interval as the product of these probabilities. 2) Using this to find the probability of no events over the whole time period, yielding an exponential form. 3) Recursively calculating higher probabilities in terms of lower ones to derive the Poisson distribution, where the probability of n events is (λt)n/n!e-λt.

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108 views2 pages

Derivation of The Poisson Distribution

The document derives the Poisson distribution from its definition as a probability per unit time. It does this by: 1) Dividing time into small intervals and calculating the probability of no events in each interval as the product of these probabilities. 2) Using this to find the probability of no events over the whole time period, yielding an exponential form. 3) Recursively calculating higher probabilities in terms of lower ones to derive the Poisson distribution, where the probability of n events is (λt)n/n!e-λt.

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yuyiip
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© © All Rights Reserved
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Derivation of the Poisson distribution

- From Bob Deserios Lab handout


A better way of describing is as a probability per unit time that an event will occur. That
is
dP = dt
(3)
where dP is the differential probability that an event will occur in the infinitesimal time
interval dt. Of course, some care must be taken when translating a rate to a probability
per unit time. For example, if = 10/s, it is obviously not true that the probability is 10
that an event will occur in any particular second. However, if that same rate is expressed
= 0.01/ms it is roughly true that the probability is 0.01 that an event will happen in any
particular millisecond. Eq. 3 only becomes exact in the limit of infinitesimal dt. It is
approximately correct for any finite t.
P=t
(4)
to the extent that P << 1.
There are several possible derivations of the Poisson probability distribution. It is
often derived as a limiting case of the binomial probability distribution. The derivation to
follow relies on Eq. 3 and begins by determining the probability P(0; t) that there will be
no events in some finite interval t. The first step is to break the interval from 0 to t into N
intervals of equal length t = t/N. (The limit as N will be performed at the end.) The
probability of an event in a small enough but finite interval t will be given by Eq. 4 and
thus the probability of no event in this same interval is given by 1 - t For the full
interval from 0 to t to have no events, each and every one of the N subintervals must have
no events. Consequently, the probability of no events in a time t is the product of the N
probabilities for no events in the subintervals.
P(0; t) = (1 - t)N
(5)
Substituting t = t/N
P(0; t) = (1 - t/N)N (6)
Taking the limit N and recognizing that
N
lim
x
(7)
1

e x

N
N
gives
P(0;t) = e-t
(8)
Next, a relation is derived for the probability, denoted P(n + 1; t), for there to be n + 1
events in a time t. It will be a recursion relation because it will be based on the
probability P(n; t) of one less event. For there to be n + 1 events in t, three independent
events must happen in the following order (their probabilities given in parentheses).
There must be n events up to some point t in the interval from 0 to t (P(n, t) by
definition)
An event must occur in the infinitesimal interval from t to t + dt (dt by Eq. 3).
There must be no events in the interval from t to t (P(0, t - t) by definition).

The probability of n + 1 events in the interval from 0 to t would be the product of the
three probabilities above integrated over all t from 0 to t to take into account that the last
event may occur at any time in the interval. That is,
t

P n 1; t P n; t ' dt ' P 0; t t '

(9)

From Eq. 8 we already have P(0; t -t) = e-t(t-t) and with the following definition
P n; t e t P n; t (10)
substituted, Eq. 9 becomes (after canceling e-t from both sides):
t

P n 1; t P n; t ' dt '

(11)

From Eqs. 8 and 10, P 0; t 1 and then P 1; t can be found from an application of Eq.
11
t

P 1, t P 0, t dt t

(12)

Applying Eq. 11 for the next few terms the pattern clearly emerges that
n
t
(15)
P n; t
n!
Thus with Eq. 10, the Poisson probabilities result
n
t
t
(16)
P n; t e
n!
BobC - truncating and shortening BobD Using = t as the expected number of
events
n
(17)
P n e
n!
BobD also derives that

<n> =

nP n =

(21)

And

n2 n2 P n 2

(23)

n 0

Leading to

n2 2

(22)

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