1. Bernoulli (binomial) distribution b(n,p): if X ∼ b(n,p) then SX = {0,1,...

,n} and

.
Parameters: n ∈ N, p ∈ [0,1].
Moments: EX = np, VarX = np(1 − p).

2. Geometric distribution g(p): if X ∼ g(p) then SX = N and

P(X = k) = (1 − p)k−1p.

Parameter: p ∈ (0,1).
Moments: EX = 1/p, VarX = (1 − p)/p2.

3. Poisson distribution P(λ): if X ∼ P(λ) then SX = N ∪ {0} and

.
Parameter: λ > 0.
Moments: EX = λ, VarX = λ.

4. Uniform distribution (univariate) U(a,b): if X ∼ U(a,b) then

.
Parameters: a < b.
Moments: EX = (a + b)/2, VarX = (b − a)2/12.

5. Exponential distribution Exp(λ): if X ∼ Exp(λ) then

.
Parameter: λ > 0.
Moments: EX = 1/λ, VarX = 1/λ2.

6. Normal (gaussian) distribution (univariate) N(µ,σ2): if X ∼ N(µ,σ2) then

.
Parameters: µ ∈ R i σ > 0.
Moments: EX = µ, VarX = σ2.
Distribution N(0,1) is called standard normal distribution. 7.

Uniform distribution (bivariate) U(A): if X ∼ U(A) then

Parameter: A ⊂ R2 with finite and nonzero Lebesgue measure.

8. Normal (gaussian) distribution (bivariate) N(m,Σ): if X = (X,Y )T ∼ N(m,Σ) then for x =

(x,y)T ∈ R2

f X (x,y ) = √ 1
2π detC X
√ 1 =
 2π detCXCX

Parameters:
m, CX,

where = Cov(X,Y ) = ρX,Y σ1σ2.

9. X – a random variable, continuously distributed, with the density fX; Y = g(X). If g is C1 and g0(x) = 06 ∀ x ∈ D
⊂ R, where P(X ∈ D) = 1, then Y is continuously distributed too, with the density

where h(y) = g−1(y).

10. X – a continously distributed random variable, with the density fX; Y = g(X). If
n

[
P(X ∈ Dk) = 1, gdzie n ∈ N,
k=1

Dk are disjoint and g is injective in all Dk, differentiable and g0(x) 6= 0 ∀ x ∈ Dk, then Y has a continuous
distribution, with the density

where hk(y) – the inverse function of g on Dk.

11. Poisson Theorem. If (Xn)n is a sequence of random variables such that Xn ∼ b(n,pn) and there exists limit
limn→∞ npn =: λ, then

.
12. Linear regression. If X and Y are random variables with finite second moments, then

is the regression line of the random variable Y with respect to X.