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Probability Distribution

This document summarizes several common discrete and continuous probability distributions including their probability mass functions or probability density functions, cumulative distribution functions, expected values, and variances. The discrete distributions covered are Bernoulli, binomial, Poisson, geometric, negative binomial, and hypergeometric. The continuous distributions covered are uniform, normal, exponential, gamma, Cauchy, beta, chi-squared, Student's t, and F.

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Alan Chee
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26 views3 pages

Probability Distribution

This document summarizes several common discrete and continuous probability distributions including their probability mass functions or probability density functions, cumulative distribution functions, expected values, and variances. The discrete distributions covered are Bernoulli, binomial, Poisson, geometric, negative binomial, and hypergeometric. The continuous distributions covered are uniform, normal, exponential, gamma, Cauchy, beta, chi-squared, Student's t, and F.

Uploaded by

Alan Chee
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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Discrete random variables

Dist.
Bernoulli
Binomial

Probablity mass function


P {X = 0} = 1 p

,
P {X = 1} = p
 
n i
P {X = i} =
p (1 p)ni ,
i
i
i!

Poisson

P {X = i} = e

Geometric

P {X = n} = (1 p)n1 p


n1 r
P {X = n} =
p (1 p)n1
r1

 
m N m
ni
i
 
P {X = i} =
N
n

Negative Binomial

Hypergeometric

E[X]

V ar(X)

0p1

p(1 p)

i = 0, 1, ..., n

np

np(1 p)

i = 0, 1, 2, ...

1
p
r
p

1p
p2
r(1 p)
p2

nm
N

N n
np(1 p)
N 1

n = 1, 2, ...
n = r, r + 1...

i = 0, 1, ..., n

Continuous random variables


Dist.

Uniform

Normal

P.D.F

C.D.F

f (x) =
0

0
x

x
<x<
F (x) =

1
x


x
F (x) =

Z x
y2
1
where (x) =
e 2 dy
2
(
1 ex
x0
F (x) =
0
x < 0.

f (x) =
(

Exponential

Gamma

f (x) =

<x<
otherwise

(x)2
1
e 22
2

ex

< x <

x0

0
x<0

x (x)1

e
f (x) =
()

0
Z

where () =

E[X]

V ar(X)

+
2

( )2
12

1
2

x0
x<0

ey y 1 dy

Cauchy

Beta

1
1
< x <
f (x) =
1 + (x )2

xa1 (1 x)b1
0<x<1
B(a, b)
f (x) =

0
otherwise
Z 1
where B(a, b) =
xa1 (1 x)b1 dx
0

F (x) =

1 1
+ tan1 x
2

a
a+b

ab
(a +

b)2 (a

+ b + 1)

Distributions derived from N(0,1)


Dist.

P.D.F

2n

f (x) =

t
Fm,n

1
x(n/2)1 ex/2 , x 0
2n/2 (n/2)
(n+1)/2

((n + 1)/2)
t2
f (t) =
1+
n
n(n/2)

((m + n)/2) m m/2 m/21 
m (m+n)/2
f (w) =
w
1+ w
,
(m/2)(n/2) n
n

E[X]

w0

V ar(X)

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