[ST-APP] Summary of probability distributions

Miguel-Angel Canela
Department of Managerial Decision Analysis

Binomial distribution
Type: Discrete.
Applications: Modelling the distribution of the number of successes in a series of independent
trials.

n x nx
Probability density: f (x) = 1 , x = 0, 1, . . . , n.
x
Parameters: n, .
Notation: B(n, ).
Mean/Variance: = n, 2 = n(1 ).
Stata functions: binomialp, binomial, binomialtail, invbinomial, invbinomialtail.

Poisson distribution
Type: Discrete.
Applications: Modelling the distribution of counts of defective items (quality control), customers
in a time interval (queuing theory), innovations (entrepeneurship), etc.
x
Probability density: f (x) = e , x = 0, 1, 2, . . ..
x!
Parameters: .
Mean/Variance: = 2 = .
Notation: P().
Stata functions: poissonp, poisson, poissontail,invpoisson, invpoissontail.

Exponential distribution
Type: Continuous.
Applications: Modelling the distribution of the time to repair of a TV set (engineering), heart
stroke (biostatistics), quitting a business (strategic analysis), getting a job (labor stats), etc.
Probability density: f (x) = ex .
Parameter: .
Notation: E().
Mean/Variance: = 1/, 2 = 1/.

Normal distribution
Type: Continuous.
Applications: Modelling the distribution of a continuous variable, as far as we do not have evidence
that it is not appropriate. In testing, it is used as an (asymptotic) model for the distribution of
many statistics.

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 1 2
Probability density: f (x) = e(x) /2 .
2
Parameters: , 2 .
Notation: N (, 2 ).
Mean/Variance: , 2 .
Stata functions: normalden, normal, invnormal.

Chi square distribution

Type: Continuous.
Applications: Modelling the (asymptotic) distribution of many test statistics, such as the Pearson
2 statistic of contingency tables and the likelihood ratio statistics in many types of regression, in
particular the 2 statistics of structural equation modelling.
1
Probability density: f (x) = n/2 xn/21 ex/2 , x > 0.
2 (n/2)
Parameter: n (degrees of freedom).
Notation: 2 (n).
Mean/Variance: = n, 2 = 2n.
Stata functions: chi2, chi2tail, invchi2, invchi2tail.

Students t distribution
Type: Continuous.
Applications: Modelling the distribution of the t statistics used for testing means and regression
coefficients.
(n+1)/2
(n + 1)/2 x2
Probability density: f (x) = 1+ .
(n)1/2 (n/2) n
Parameters: n (degrees of freedom).
Notation: t(n).
Mean/Variance: = 0, 2 = n/(n 2) (for n > 2).
Stata functions: tden, ttail, invttail.

F distribution
Type: Continuous.
Applications: Modelling the distribution of the F statistics used in ANOVA and multiple linear
regression.
n /2 n /2
n1 /2 + n2 /2 n1 1 n2 2 xn1 /21
Probability density: f (x) = (n1 +n2 )/2 .
n1 /2 n2 /2 n2 + n1 x
Parameters: n1 , n2 (degrees of freedom).
Notation: F (n1 .n2 ).
Mean/Variance: = 0, 2 = n/(n 2) (for n > 2).
Stata functions: Fden, F, invF, Ftail, invFtail.

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