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Table Common Distributions

This document summarizes common probability distributions covered in ACTSC 431/831. It outlines key discrete distributions like the Poisson, binomial, negative binomial, and geometric distributions. It also outlines key continuous distributions like the gamma, normal, beta, Pareto, and uniform distributions. For each distribution, it provides the probability mass or density function and gives formulas for the expected value and variance.

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Andrew Good
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354 views

Table Common Distributions

This document summarizes common probability distributions covered in ACTSC 431/831. It outlines key discrete distributions like the Poisson, binomial, negative binomial, and geometric distributions. It also outlines key continuous distributions like the gamma, normal, beta, Pareto, and uniform distributions. For each distribution, it provides the probability mass or density function and gives formulas for the expected value and variance.

Uploaded by

Andrew Good
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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Table of Common Distributions for ACTSC 431/831

1. Discrete Distributions (a) Poisson with parameter > 0: A random variable X is said to have a Poisson distribution denoted by X P () if X has the following probability function (pf): Pr{X = k} = with E(X) = V ar(X) = ; the mgf MX (t) = E(etX ) = exp{(et 1)}; and the pgf PX (z) = E(z X ) = exp{(z 1)}. (b) Binomial with parameters n (positive integer) and 0 < p < 1: A random variable X is said to have a binomial distribution denoted by X b(n, p) if X has the following pf: Pr{X = k} = with E(X) = np; V ar(X) = np(1 p); MX (t) = (1 + p(et 1))n ; and PX (z) = (1 + p(z 1))n . (c) Bernoulli with parameter 0 < p < 1 is a special binomial distribution when n = 1, i.e. b(1, p). (d) Negative Binomial with parameters r > 0 and > 0: A random variable X is said to have a negative binomial distribution denoted by X N B(r, ) if X has the following pf: k+r1 Pr{X = k} = k with E(X) = r; V ar(X) = r(1 + ); MX (t) = (1 (et 1))r ; and PX (z) = (1 (z 1))r . 1 1+
r

k e , k = 0, 1, 2, k!

n k p (1 p)nk , k = 0, 1, , n k

1+

, k = 0, 1, 2,

(e) Geometric with parameter > 0 is a special negative binomial distribution when r = 1, i.e. N B(1, ). 2. Continuous Distributions Gamma with parameters > 0 and > 0: A random variable X is said to have a gamma distribution denoted by X G(, ) if X has the following probability density function (pdf): x1 e f (x) = , x0 () with E(X) = , V ar(X) = ,
2
x

and

MX (t) =

1 1 t

for t <

1 .

The gamma function () is dened by

() =
0

x1 ex dx, > 0

with ( + 1) = () for > 0 and (n + 1) = n! for n = 0, 1, 2, . Exponential with parameter > 0 is a special gamma distribution when = 1, i.e. G(1, ). Normal with parameters > 0 and 2 > 0: A random variable X is said to have a normal distribution denoted by X N (, 2 ) if X has the following pdf:
(x)2 1 e 22 , < x < f (x) = 2

with E(X) = , V ar(X) = 2 , and MX (t) = e t+


2 t2 2

Beta with parameters > 0 and > 0: A random variable X is said to have a beta distribution denoted by X Beta(, ) if X has the following pdf: f (x) = with E(X) = and V ar(X) = . 2 ( + + 1) + ( + ) ( + ) 1 x (1 x)1 , 0 < x < 1 ()()

Pareto with parameters > 0 and > 0: A random variable X is said to have a Pareto distribution denoted by X P areto(, ) if X has the following pdf: f (x) = , x 0, (x + )+1 or equivalently, X has the following distribution function F (x) = 1 +x with E(X) = 2 for > 1 and V ar(X) = for > 2. 1 ( 1)2 ( 2)

, x0

Uniform on the interval (a, b) with parameters < a < b < : A random variable X is said to have a uniform distribution on the interval (a, b) denoted by X U (a, b) if X has the following pdf: f (x) = with E(X) =
a+b 2

1 , a<x<b ba
(ba)2 . 12

and V ar(X) =

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