Table of Common Distributions Discrete Distributions Bernoulli(p) pmf P(X =a\p)=p*(1—p)'*; 2=0,1; OSpsl mean and tannce, PX=P, VaeX = (02) mof Mx(t) = (1—p) + pet Binomial(n,p) pmf P(X = a\n,p) = (2)p*(1— py"; © =0,1,2,...,n; OSpsl mean and eevee BX =np, VarX = np(1—p) mof Mx(t) = [pet + (1—p)]" notes Related to Binomial Theorem (Theorem 3.2.2). The multinomial distri- bution (Definition 4.6.2) is a multivariate version of the binomial distri- bution. Discrete uniform pmf P(X=2\N)=3; 2=1,2,...,N; N=1,2,... mean and py _ NE Var x = Wi=) variance 2 12 mof Mx(t Geometric(p) pmf P(X =a\p)=p(l—p)*1; © =1,2,...5 OSp s|X >t) = P(X >s-2). Hypergeometric ay pif P(X = 2|N,M, K) = (olen, © =0,1,2,...,K5 M-(N-K)0 mean and _ KM _ KM (N=AN(N—K) variance PX = “y's VarX = “yyy notes If K < M and N,, the range x = 0,1,2,..., K will be appropriate. Negative binomial(r,p) pif P(X = 2\r,p) = (“2"")p"(L=p)?;_ © =0,1,...5 OSp0, B>0 mean and « _ a variance EX = asa VarX = waraparariy maf Mx() = 14 Dy (TG a8) & notes ‘The constant in the beta pdf can be defined in terms of gamma functions, Bla, 8) = HOEY. Equation (3.2.18) gives a general expression for the moments. Cauchy(9,0) paf F(2I8.0) = se rea —co0 mean and do not exist variance maf does not exist notes Special case of Student’s t, when degrees of freedom = 1. Also, if X and Y are independent n(0, 1), X/Y is Cauchy. Chi squared(p) pdf Llp) = pepe t?Me2?; OS a <0; p= 1,2... mean and py» VarX = 2p variance p/2 maf Mx(t) = (ez) , t< notes Special case of the gamma distribution. Double exponential(u, 0) pdf f(a\u,o) = eH", -co< a 0 meanand py 4 VarX = 202 variance maf Mx) = ram I< notes Also known as the Laplace distribution.624 TABLE OF COMMON DISTRIBUTIONS Exponential(3) pdf F(el@)=fe*¥, O0 mean and _ _ 2 variance EX=6, VarX =6 maf Mx(t)=q4g, t<} notes Special case of the gamma distribution. Has the memoryless property. Has many special cases: Y = X/7 is Weibull, Y = \/2X/@ is Rayleigh, Y =a —7log(X/8) is Gumbel. F _ (ae) /,,)4/ ea—2/2 . df Kein) = sey (4) Ea O 2 Var X = 2( aed, >4 ‘moments n — P(22*)r(224) (g)" a (mgf does not exist) PX" = te NF (a)") »<4 2 2 notes Related to chi squared (Fizu. = (®) / (2). where the y*s are in- dependent) and t (F,,, = #2). Gamma(a, f) pdf f (ela, 8) = palgratte/®, OSe0 mean and py ag VarX =a? variance mof Mx()=(s4)", 1<4 notes Some special cases are exponential (a = 1) and chi squared (a = p/2, B = 2). Ifa = 3, Y = \/X/B is Mazwell. Y = 1/X has the inverted gamma distribution. Can also be related to the Poisson (Example 3.2.1). Logistic(1, 8) pdf S(clu,8) = bpp, co 0 mean and 2a variance BX =m VarX = =eTABLE OF COMMON DISTRIBUTIONS 625 mof Mx(t) = e"T(1~ Bi)T(1+ Bt), |tl< 3 notes The cdf is given by F(x\u,8) = =t=75- Lognormal(,02) (log 2-1)? /(207) 2) e pdf S|, 0?) = yes ——, 0S <0, -000 mean and px _ eut(o7/2), Var X = elieta) — rite? variance moments a gnutnto?/2 (maf does not exist) PX" =e notes Example 2.3.5 gives another distribution with the same moments. Normal(y,0?) pdf S (|p, 0) = Gpere“@-W7/0), 00 0 mean ond py VarX ag? variance mof Mx(t) = entree notes Sometimes called the Gaussian distribution. Pareto(a, 8) pdf f(ela,6)= 2%, a0, B>0 mean and m at variance PX = $5 B>1, VarX = gajig=yy 6 >2 maf does not exist t ree) 4 1 dy Wy ~OO<@1, VarX=c4y, v>2 variance moments a FEY(S) nye: (imgf does not exist) EX" =~~Farcgy¥"" fm 0, B>0 mean and sat exact), wx e[e (ted) 1 (3) moments EX" = 6/0 (1 + 2) notes ‘The mgf exists only for -y > 1. Its form is not very useful. A special case is exponential (7 = 1).TABLE OF COMMON DISTRIBUTIONS 627 crete uniform Negative binomial p= MIN, n=K Now Bernoulli Double exponent Relationships among common distributions. Solid lines represent transformations and special cases, dashed lines represent limits. Adapted from Leemis (1986).