576 STANDARD PROBABILITY DISTRIBUTIONS

Table A.1 Continuous distributions

Distribution Notation Parameters

θ ∼ U(α, β) boundaries α, β
Uniform
p(θ) = U(θ|α, β) with β > α

θ ∼ N(µ, σ 2 ) location µ
Normal
p(θ) = N(θ|µ, σ 2 ) scale σ > 0

θ ∼ lognormal(µ, σ 2 ) location µ
Lognormal
p(θ) = lognormal(θ|µ, σ 2 ) log-scale σ > 0

θ ∼ N(µ, Σ)
Multivariate symmetric, pos. definite,
p(θ) = N(θ|µ, Σ)
normal d × d variance matrix Σ
(implicit dimension d)

θ ∼ Gamma(α, β) shape α > 0

Gamma
p(θ) = Gamma(θ|α, β) inverse scale β > 0

θ ∼ Inv-gamma(α, β) shape α > 0

Inverse-gamma
p(θ) = Inv-gamma(θ|α, β) scale β > 0

θ ∼ χ2ν
Chi-square degrees of freedom ν > 0
p(θ) = χ2ν (θ)

θ ∼ Inv-χ2ν
Inverse-chi-square degrees of freedom ν > 0
p(θ) = Inv-χ2ν (θ)

Scaled θ ∼ Inv-χ2 (ν, s2 ) degrees of freedom ν > 0

inverse-chi-square p(θ) = Inv-χ2 (θ|ν, s2 ) scale s > 0

θ ∼ Expon(β)
Exponential inverse scale β > 0
p(θ) = Expon(θ|β)

Laplace θ ∼ Laplace(µ, σ) location µ

(double-exponential) p(θ) = Laplace(θ|µ, σ) scale σ > 0

θ ∼ Weibull(α, β) shape α > 0

Weibull
p(θ) = Weibull(θ|α, β) scale β > 0

W ∼ Wishartν (S) degrees of freedom ν

Wishart p(W ) = Wishartν (W |S) symmetric, pos. definite
(implicit dimension k × k) k × k scale matrix S

W ∼ Inv-Wishartν (S −1 ) degrees of freedom ν

Inverse-Wishart p(W ) = Inv-Wishartν (W |S −1 ) symmetric, pos. definite
(implicit dimension k × k) k × k scale matrix S

Σ ∼ LkjCorr(η)
LKJ correlation p(Σ) = LkjCorr(Σ|η) shape η > 0
(implicit dimension k × k)
CONTINUOUS DISTRIBUTIONS 577

Density function Mean, variance, and mode

E(θ) = α+β
2
1 2
p(θ) = β−α , θ ∈ [α, β] var(θ) = (β−α)
12
no mode
! " E(θ) = µ
p(θ) = √1 exp − 2σ1 2 (θ − µ)2 var(θ) = σ 2
2πσ
mode(θ) = µ
√ E(θ) = exp(µ + 12 σ 2 ),
p(θ) = ( 2πσθ)−1 exp(− 2σ1 2 (log θ − µ)2 ) var(θ) = exp(2µ + σ 2 )(exp(σ 2 ) − 1)
mode(θ) = exp(µ − σ 2 )
−d/2 E(θ) = µ
p(θ) = (2π)
! 1 |Σ|−1/2 " var(θ) = Σ
× exp − 2 (θ − µ)T Σ−1 (θ − µ)
mode(θ) = µ
E(θ) = αβ
β α α−1 −βθ
p(θ) = Γ(α) θ e , θ>0 var(θ) = βα2
mode(θ) = α−1 β , for α ≥ 1
β
E(θ) = α−1 , for α > 1
β α −(α+1) −β/θ 2
p(θ) = Γ(α) θ e , θ>0 var(θ) = (α−1)β2 (α−2) , α > 2
β
mode(θ) = α+1
2 −ν/2 E(θ) = ν
p(θ) = Γ(ν/2) θν/2−1 e−θ/2 , θ > 0
var(θ) = 2ν
same as Gamma(α = ν2 , β = 12 ) mode(θ) = ν −2, for ν ≥ 2
1
2 −ν/2 E(θ) = ν−2 , for ν > 2
p(θ) = Γ(ν/2) θ−(ν/2+1) e−1/(2θ) , θ > 0 var(θ) = (ν−2)22 (ν−4) , ν > 4
same as Inv-gamma(α = ν2 , β = 12 ) mode(θ) = ν+2 1
ν 2
ν/2 2
E(θ) = ν−2 s
p(θ) = (ν/2) ν −(ν/2+1) −νs /(2θ)
Γ(ν/2) s θ e , θ>0 2
var(θ) = (ν−2)2ν2 (ν−4) s4
same as Inv-gamma(α = ν2 , β = ν2 s2 ) ν
mode(θ) = ν+2 s2
1
E(θ) = β
p(θ) = βe−βθ , θ > 0
var(θ) = β12
same as Gamma(α = 1, β)
mode(θ) = 0
# $ E(θ) = µ
p(θ) = 1
2σ exp − |x−µ|
σ
var(θ) = 2σ 2
mode(θ) = µ
E(θ) = βΓ(1 + α1 )
α α−1
p(θ) = βα θ exp(−(θ/β)α ), θ > 0 var(θ) = β 2 [Γ(1 + α2 ) − (Γ(1 + α1 ))2 ]
mode(θ) = β(1 − α1 )1/α
# %k ! "$−1
p(W ) = 2νk/2 π k(k−1)/4 i=1 Γ ν+1−i
2
×|S|−ν/2 |(ν−k−1)/2 E(W ) = νS
! |W1
"
× exp − 2 tr(S −1 W ) , W pos. definite
# %k ! "$−1
p(W ) = 2νk/2 π k(k−1)/4 i=1 Γ ν+1−i
2
×|S|ν/2 |−(ν+k+1)/2 E(W ) = (ν − k − 1)−1 S
! |W
1
"
× exp − 2 tr(SW −1 ) , W pos. definite
= det(Σ)η−1
p(Σ) &
k
×2 i=1 (2η−2+k−i)(k−i) E(Σ) = Ik ,
%k ! ! ""
i+1 k
× i=1 B i+1 2 , 2
578 STANDARD PROBABILITY DISTRIBUTIONS
Table A.1 Continuous distributions continued
Distribution Notation Parameters
θ ∼ tν (µ, σ 2 ) degrees of freedom ν > 0
t p(θ) = tν (θ|µ, σ 2 ) location µ
tν is short for tν (0, 1) scale σ > 0
degrees of freedom ν > 0
θ ∼ tν (µ, Σ)
location µ = (µ1 , . . , µd )
Multivariate t p(θ) = tν (θ|µ, Σ)
symmetric, pos. definite
(implicit dimension d)
d × d scale matrix Σ

θ ∼ Beta(α, β) ‘prior sample sizes’

Beta
p(θ) = Beta(θ|α, β) α > 0, β > 0

θ ∼ Dirichlet(α1 , . . , αk ) ‘prior sample sizes’

Dirichlet &k
p(θ) = Dirichlet(θ|α1 , . . , αk ) αj > 0; α0 ≡ j=1 αj

θ ∼ Logistic(µ, σ) location µ
Logistic
p(θ) = Logistic(θ|µ, σ) scale σ > 0

θ ∼ Log-logistic(α, β) scale α > 0

Log-logistic
p(θ) = Log-logistic(θ|α, β) shape β > 0

Table A.2 Discrete distributions

Distribution Notation Parameters
θ ∼ Poisson(λ)
Poisson ‘rate’ λ > 0
p(θ) = Poisson(θ|λ)
‘sample size’
θ ∼ Bin(n, p)
Binomial n (positive integer)
p(θ) = Bin(θ|n, p)
‘probability’ p ∈ [0, 1]
‘sample size’
θ ∼ Multin(n; p1 , . . , pk ) n (positive integer)
Multinomial ‘probabilities’ pj ∈ [0, 1];
p(θ) = Multin(θ|n; p1 , . . , pk ) &k
j=1 pj = 1

Negative θ ∼ Neg-bin(α, β) shape α > 0

binomial p(θ) = Neg-bin(θ|α, β) inverse scale β > 0
‘sample size’
Beta- θ ∼ Beta-bin(n, α, β) n (positive integer)
binomial p(θ) = Beta-bin(θ|n, α, β) ‘prior sample sizes’
α > 0, β > 0
CONTINUOUS DISTRIBUTIONS 579

Density function Mean, variance, and mode

E(θ) = µ, for ν > 1
Γ((ν+1)/2)
p(θ) = √
Γ(ν/2) νπσ
(1 + ν1 ( θ−µ 2 −(ν+1)/2
σ ) )
ν
var(θ) = ν−2 σ 2 , for ν > 2
mode(θ) = µ
Γ((ν+d)/2) −1/2 E(θ) = µ, for ν > 1
p(θ) = Γ(ν/2)ν d/2 π d/2 |Σ| ν
var(θ) = ν−2 Σ, for ν > 2
×(1 + ν1 (θ − µ)T Σ−1 (θ − µ))−(ν+d)/2 mode(θ) = µ
α
Γ(α+β) α−1
E(θ) = α+β
p(θ) = Γ(α)Γ(β) θ (1 − θ)β−1
var(θ) = (α+β)2αβ (α+β+1)
θ ∈ [0, 1] α−1
mode(θ) = α+β−2
α
E(θj ) = α0j
Γ(α1 +···+αk ) α1 −1 α (α −α )
p(θ) = Γ(α1 )···Γ(αk ) θ1 · · · θkαk −1 var(θj ) = αj2 (α00 +1)j
&k 0
α αj
θ1 , . . , θk ≥ 0; j=1 θj = 1 cov(θi , θj ) = − α2 (αi 0 +1)
0
αj −1
mode(θj ) = α0 −k
E(θ) = µ
exp(− x−µ
σ )
p(θ) = σ (1+exp( − x−µ
var(θ) = 13 σ 2 π 2
σ ))
mode(θ) = µ
1
E(θ) = x −β
1+( α )
β β−1
( ) x
var(θ) 2 2π/β
= α sin(2π/β) , β>2
p(θ) = ' α αx β (2 , θ > 0
1+( α ) # $ β1
β−1
mode(θ) = α β+1 , β>1

Density function Mean, variance, and mode

1 θ
p(θ) = θ! λ exp (−λ) E(θ) = λ, var(θ) = λ
θ = 0, 1, 2, . . . mode(θ) = ⌊λ⌋
! " E(θ) = np
p(θ) = nθ pθ (1 − p)n−θ
var(θ) = np(1 − p)
θ = 0, 1, 2, . . . , n
mode(θ) = ⌊(n + 1)p⌋
! " θ1 E(θj ) = npj
p(θ) = n
θ1 θ2 ··· θk p1 · · · pθkk
&k var(θj ) = npj (1 − pj )
θj = 0, 1, 2, . . . , n; j=1 θj = n cov(θi , θj ) = −npi pj
! " # β $α # 1 $θ
p(θ) = θ+α−1 E(θ) = αβ
α−1 β+1 β+1
θ = 0, 1, 2, . . . var(θ) = βα2 (β + 1)

Γ(n+1) Γ(α+θ)Γ(n+β−θ) α
p(θ) = Γ(θ+1)Γ(n−θ+1) Γ(α+β+n)
E(θ) = n α+β
Γ(α+β) αβ(α+β+n)
× Γ(α)Γ(β) , θ = 0, 1, 2, . . . , n var(θ) = n (α+β) 2 (α+β+1)