368 D Tables

Table A The most frequently used discrete and continuous distributions

Distribution Density & support Moments & cumulants Mgf


n x E = np,Var = np(1 − p),
Binomial(n,p) p (1 − p)n−x
x np(1 − p)(1 − 2p) (1 − p + pet )n
(0 < p < 1, n ∈ N) γ=
x = 0, 1, . . . , n σ3
Bernoulli(p) ≡ Binomial(1,p)

Poisson(λ ) λx
E = Var√= λ ,
e−λ , x = 0, 1, . . . γ = 1/ λ , exp[λ (et − 1)]
(λ > 0) x!
κ j = λ , j = 1, 2, . . .


Negative r+x−1 r E = r(1 − p)/p
r
p (1 − p)x p
binomial(r,p) x Var = E/p,
1 − (1 − p)et
(r > 0, 0 < p < 1) x = 0, 1, 2, . . . γ = (2−p)
pσ

Geometric(p) ≡ Negative binomial(1,p)

E = (a + b)/2,
Uniform(a,b) 1 ebt − eat
; a<x<b Var = (b − a)2 /12,
(a < b) b−a (b − a)t
γ =0

N(µ , σ 2 ) 1 −(x − µ )2 E = µ , Var = σ 2 , γ = 0

√ exp exp(µ t + 12 σ 2 t 2 )
(σ > 0) σ 2π 2σ 2 (κ j = 0, j ≥ 3)

α
Gamma(α ,β ) β α α −1 −β x E = α /β , Var = α /β 2 , β
x e ,x > 0 √ (t < β )
(α , β > 0) Γ (α ) γ = 2/ α β −t

Exponential(β ) ≡ gamma(1,β )

χ 2 (k) (k ∈ N) ≡ gamma(k/2,1/2)

Inverse
 √
α x−3/2 −(α − β x)2 E = α /β , Var = α /β 2 , eα (1− 1−2t/β )
Gaussian(α ,β )  exp √
2πβ 2β x γ = 3/ α (t ≤ β /2)
(α > 0, β > 0)


−α  −α 
F(x) = Φ  + β x + e2α Φ  − β x , x > 0
βx βx
Beta(a,b) xa−1 (1 − x)b−1 a E(1 − E)
,0<x<1 E= , Var =
(a > 0, b > 0) B(a, b) a+b a+b+1

1 −(log x − µ )2
E = e µ +σ , Var = e2µ +2σ − e2µ +σ ,
2 /2 2 2
Lognormal(µ ,σ 2 ) √ exp ,
xσ 2π 2σ 2
(σ > 0) x>0 γ = c3 + 3c with c2 = Var/E2

Pareto(α ,x0 ) α x0α α x0 α x02

, x > x0 E= , Var =
(α , x0 > 0) xα +1 α −1 (α − 1)2 (α − 2)

E = Γ (1 + 1/α )/β ,
Weibull(α ,β ) α
αβ (β y)α −1 e−(β y) , x > 0 Var = Γ (1 + 2/α )/β 2 − E2 ,
(α , β > 0)
E[Y t ] = Γ (1 + t/α )/β t