Module 28

SOME SPECIAL DISCRETE DISTRIBUTIONS

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X : a discrete r.v. with support SX , d.f. FX (·) and p.m.f. fX (·)
P
µ = E (X ) = xfX (x)
x∈SX
σ2 = Var(X ) = E ((X − µ)2 ) = (x − µ)2 fX (x)
P
x∈SX
For any function h(·)
X
E (h(X )) = h(x)fX (x),
x∈SX

provided the sum is finite.

Moment generating function
X
MX (t) = E (e tX ) = e tx fX (x)
x∈SX

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I. Bernoulli and Binomial Distribution
Bernoulli Experiment: A random experiment that results in just two
possible outcomes, say success (S) and failure (F ).
Then
Ω = {S, F }, P(Ω) = {φ, Ω, {S}, {F }}.
Let P({S}) = p and P({F }) = 1 − p = q (say), where 0 < p < 1.
Define X : Ω → R
(
1, if ω = S
X (ω) = .
0, if ω = F
= No. of successes in single trial.
The support of X is SX = {0, 1} and p.m.f. of X is

q,
 if x = 0
fX (x) = P({X = x}) = p if x = 1

0, otherwise


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 (
p x q 1−x , if x = 0, 1
= .
0, otherwise
→ Bernoulli distribution with success probability p ∈ (0, 1).

Now consider a sequence of n (where n is a fixed positive integer)

independent Bernoulli trials, with probability of success in each trial
as p ∈ (0, 1).
Define
X = No. of successes in n Bernoulli trials.
Then SX = {0, 1, 2, . . . , n} and p.m.f. of X is
fX (x) = P({X = x})
= P({S in x trials and F in n − x trials})
(

n x n−x , if x = 0, 1, . . . , n
= x p (1 − p) .
0, otherwise

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 → Binomial distribution with parameters n and p (written as
X ∼ Bin(n, p); n ∈ N and p ∈ (0, 1) are parameters).
A Bin(1, p) distribution is a Bernoulli distribution with success
probability p ∈ (0, 1).
Suppose that X ∼ Bin(n, p), where n ∈ N and p ∈ (0, 1). Let
q = 1 − p. Then

MX (t) = E (e tX )
n  
tx n
X
= e p x q n−x
x
x=0
n  
X n
= (pe t )x q n−x
x
x=0
= (q + pe t )n , t ∈ R

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 (1)
MX (t) = npe t (q + pe t )n−1 , t ∈ R
(2)
MX (t) = npe t (q + pe t )n−1 + n(n − 1)p 2 e 2t (q + pe t )n−2 , t ∈ R

(1)
µ = E (X ) = MX (0) = np
(2)
E (X 2 ) = MX (0) = np + n(n − 1)p 2
σ 2 = Var(X ) = E (X 2 ) − (E (X ))2
= np(1 − p)
= npq

Mean > Variance

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Result 1 :
Let X1 , . . . , Xk be independent r.v.s with Xi ∼ Bin(ni , p); ni ∈ N,
Pk k
P
p ∈ (0, 1), i = 1, . . . , k. Then Y = Xi ∼ Bin( ni , p).
i=1 i=1
Proof. For t ∈ R
k
P
t Xi

MY (t) = E e i=1

k
Y
= MXi (t)
i=1
k
Y
= (q + pe t )ni
i=1
k
P
ni
t
= (q + pe )i=1

Now the result follows by uniqueness of m.g.f.

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II. Negative Binomial distribution
Consider a sequence of independent Bernoulli trials with probability of
success in each trial as p ∈ (0, 1). Let r ∈ N be a fixed positive
integer.
Define Y = No. of failures preceding the r th success, so that
Y + 1 is the number of trials required to get the r th success.
Then SY = {0, 1, 2, . . .} and, for y ∈ SY ,
fY (y ) = P({Y = y })
= P(y failures precede r th success)
= P(r − 1 successes in first y + r − 1 trial, and (y + r )th
trial is success)
 
y + r − 1 r −1
= p (1 − p)y p
r −1
 
y +r −1 r
= p (1 − p)y
r −1
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Thus the p.m.f. of Y is
(
y +r −1
p r q y , if y = 0, 1, 2, . . .


fY (y ) = r −1 .
0, otherwise

→ Negative binomial distribution with parameters r ∈ N and

p ∈ (0, 1) (written as X ∼ NB(r , p)).
Note that
∞  
X
r
X y +r −1 y
fY (y ) = p q
r −1
y ∈SY y =0
 
r r (r + 1) 2 r (r + 1)(r + 2) 3
= p 1 + rq + q + q + ...
2! 3!
= p r (1 − q)−r
= 1.

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The m.g.f. of Y is

MY (t) = E (e tY )
∞  
X y +r −1 r y
= e ty p q
r −1
y =0
∞  
r
X y +r −1
= p (qe t )y
r −1
y =0

= p (1 − qe t )−r , t < − ln q
r

ψY (t) = ln MY (t)
= r ln p − r ln(1 − qe t )

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 (1) rqe t
ψY (t) = , t < − ln q
1 − qe t
(2) (1 − qe t )e t + qe 2t
ψY (t) = rq , t < − ln q
(1 − qe t )2
(1) rq
µ = E (Y ) = ψY (0) =
p
(2) rq
σ 2 = Var(Y ) = ψY (0) = ;
p2
Mean < Variance

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Result 2 :

Let Y1 , Y2 . . . , Yk be independent r.v.s with Yi ∼ NB(ri , p); i = 1, . . . , k.

Pk Pk

Then Y = Yi ∼ NB ri , p .
i=1 i=1
Proof. For t < − ln q
k
Y
MY (t) = MYi (t)
i=1
k  ri
Y p
=
1 − qe t
i=1
k
 P ri
p i=1
=
1 − qe t

Now the result follows by using uniqueness of m.g.f.

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An NB(1, p) distribution is called a geometric distribution
(distribution of number of failures preceding first success) and is
denoted by Ge(p), 0 < p < 1. If Y ∼ Ge(p), 0 < p < 1, then
∞
X
P(Y ≥ m) = p(1 − p)y = (1 − p)m , m = 1, 2, . . .
y =m

P(Y ≥ j + k|Y ≥ j) = (1 − p)k = P(Y ≥ k), j, k ∈ {0, 1, 2, . . .}

→ Lack of memory property (Interpret it when Y represents the
lifetime of an item)

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III. The Hypergeometric distribution

Consider a population having N objects out of which a are marked

and N − a are unmarked. A random sample of size n is drawn from
this population without replacement.
Let X = No. of marked objects in the sample of n objects.
Then

SX = {x ∈ N : 0 ≤ x ≤ n, 0 ≤ x ≤ a, n − x ≤ N − a}

= {x ∈ N : max{0, n − N + a} ≤ x ≤ min{n, a}}

fX (x) = P({X = x})

 a N−a
 (x )( n−x ) , if x ∈ S
X
= (Nn ) .
0, otherwise


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 → Hypergeometic distribution (X ∼ Hyp(a, n, N),
N ∈ {1, 2, . . .}, a ∈ {1, 2, . . . , N}, n ∈ {1, 2, . . . , N}).
Since the support SX is finite, it follows that the m.g.f. MX (t) is
finite for every t ∈ R, although a closed form expression for it can not
be obtained.
Let ψr (X ) = X (X − 1) . . . (X − r + 1), r = 1, 2, . . .. Then it can be
shown that, for r = 1, 2, . . . ,
 N−r
 ( n−r ) a(a − 1) . . . (a − r + 1), if r ≤ min{n, a}
E (ψr (X )) = (Nn ) .
0, otherwise


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In particular
a
E (X ) = n
N
and, for n ≥ 2, a ≥ 2

a(a − 1)
E (X (X − 1)) = n(n − 1)
N(N − 1)

Var(X ) = E (X 2 ) − (E (X ))2
= E (X (X − 1)) + E (X ) − (E (X ))2
  
a a N −n
= n 1− .
N N N −1

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IV. The Poisson Distribution
A r.v. X is said to have the Poisson distribution with parameter λ > 0
(written as X ∼ P(λ)) if its p.m.f. is given by
( −λ x
e λ
fX (x) = x! , if x = 0, 1, 2, . . . .
0, otherwise
P
Clearly SX = {0, 1, 2, . . .}, fX (x) ≥ 0, ∀ x ∈ R and fX (x) = 1.
x∈SX
For t ∈ R,

MX (t) = E (e tX )
X
= e tx fX (x)
x∈SX
∞
X e −λ λx
= e tx
x!
x=0

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 ∞
−λ
X (λe t )x
= e
x!
x=0
−λ λe t
= e e
λ(e t −1)
= e .

ψX (t) = ln MX (t) = λ(e t − 1), t ∈ R

(1)
ψX (t) = λe t , t ∈ R
(2)
ψX (t) = λe t , t ∈ R

(1) (2)
µ = E (X ) = ψX (0) = λ, σ 2 = Var(X ) = ψX (0) = λ
Mean = Variance.
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Result 3 :
Let X1 , X2 , . . . , Xk be independent random variables with
Pk Pk
Xi ∼ P(λi ), λi > 0, i = 1, . . . , k. Then Y = Xi ∼ P( λi ).
i=1 i=1
Proof. For t ∈ R
MY (t) = E (e tY )
k
Y
= MXi (t)
i=1
k
t −1)
Y
= e λi (e
i=1
k

λi (e t −1)
P
= e i=1

k
P

which is the m.g.f. of P λi distribution. Now the result follows by
i=1
uniqueness of m.g.f.s.
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V. The Discrete Uniform Distribution
Let N ≥ 1 be given integer. A r.v. X is said to follow uniform distribution
on {1, 2, . . . , N} (written as X ∼ U(1 − N)) if its p.m.f. is given by

fX (x) = P(X = x)
(
1
= N , if x ∈ {1, 2, . . . , N} .
0, otherwise

Clearly SX = {0, 1, 2, . . . , N},

N
1 X tx
MX (t) = e
N
x=1

N
X 1 X N +1
µ = E (X ) = xfX (x) = x=
N 2
x∈SX x=1

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 N
2
X
2 1 X 2 (N + 1)(2N + 1)
E (X ) = x fX (x) = x =
N 6
x∈SX x=1

σ 2 = Var(X ) = E (X 2 ) − (E (X ))2
(N + 1)(2N + 1) (N + 1)2
= −
6 4
2
N −1
=
12

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Take Home Problems

(1) (a) Suppose that, for some n ∈ N and p ∈ (0, 1), X ∼ Bin(n, p). Show that
Y = n − X ∼ Bin(n, 1 − p).
(b) If X ∼ Bin(n, 12 ), show that the distribution of X is symmetric. Hence
find P(X ≤ n2 ).
(2) Let X be a discrete type r.v. with support SX = {0, 1, 2, . . .}. Show
that the probability distribution of X has lack of memory property if
and only if X ∼ Ge(p), for some p ∈ (0, 1).
(3) Suppose that X ∼ Hyp(a, n, N), where a, n, N ∈ N, a ≤ N and n ≤ N.
Find the value of

E (X (X − 1) . . . (X − r + 1)),

where r ∈ N.

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 Thank you for your patience

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