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) =