Summary of Special Probability Distributions

Continuous Probability Distributions

Distribution Parameters Density Function Mean Variance Moment Generating Function

(b − a ) etb − eta
2
b+a
M (t ) =
1
Uniform on [a, b] a, b f ( x) = , a≤ x≤b µ= . σ2 = , t ≠ 0.
b−a 2 12 (b − a ) t
−
( x − µ )2 1
Normal µ, σ f ( x) =
1
e 2σ 2
, −∞ < x < ∞ µ σ2 M (t ) = e
µ t + σ 2t 2
2
.
σ 2π
1 1 λ
Exponential λ f ( x ) = λ e − λ x if x ≥ 0 µ= σ2 = M X (t ) = , t<λ
λ λ 2
λ −t
λr ⎛ λ ⎞
r
f ( x) =
r r
Gamma λ, r x r −1e − λ x , x > 0 µ= σ2 = M (t ) = ⎜ ⎟ , t<λ
Γ (r ) λ λ2 ⎝ λ −t ⎠
n2
1 n
−1 ⎛ 1 ⎞ 1
Chi-square n f ( x ) = n 2 n x 2 e− x 2 , x > 0 µ=n σ 2 = 2n M (t ) = ⎜ 1 2 ⎟ = , t< 1
2 Γ( 2 ) ⎝ 2 −t ⎠ (1 − 2t )
n2 2

Discrete Probability Distributions

Distribution Parameters Mass Function Mean Variance Moment Generating Function

n, p ⎛n⎞
( )
Binomial
f ( x ) = ⎜ ⎟ p x (1 − p ) , x = 0, 1, 2, …, n σ 2 = np (1 − p ) M ( t ) = 1 + p ( et − 1)
n− x n
µ = np
⎝ x⎠
⎛ x − 1⎞ k
Negative
Binomial
k, p
f ( x) = ⎜ ⎟ p (1 − p ) ,
x−k

µ=
k
σ =
k (1 − p )
M X (t ) =
( pe )
t k

, t < − ln (1 − p )
⎝ k − 1⎠
2

⎡⎣1 − (1 − p ) et ⎤⎦
k
p p2
x = k , k + 1, k + 2, … .
Geometric p 1 1− p pet
f ( x ) = p (1 − p )
x −1
, x = 1, 2, 3, … µ= σ2 = M X (t ) = , t < − ln (1 − p )
p p2 1 − (1 − p ) et
λ λx M ( t ) = exp ⎡⎣λ ( et − 1) ⎤⎦
Poisson
f ( x ) = e− λ , x = 0, 1, 2, … µ =λ σ2 =λ
x!