Continuous random variable cheat sheet

Uniform random variable Ua,b on [a, b]:

Density:
 1

for a < x < b
f (x) = b−a
0 else.

Expectation:
a+b
E(Ua,b ) = .
2
Variance:
(b − a)2
var(Ua,b ) = .
12
Normal random variable Zµ,σ : Density:
1 2 2
f (x) = √ e−(x − µ) /(2σ )
σ 2π
Expectation is µ, standard deviation is σ. Standard normal variable:
Z = Z0,1 .
Exponential random variable Yλ : Density:
 −λx
λe for x ≥ 0
f (x) =
0 for x < 0.
Expectation: E(Yλ ) = 1/λ. Variance: var(Yλ ) = 1/λ2 .
Gamma random variable Γλ,α : Density:
 −λx
λe (λx)α−1 /Γ(α) for x ≥ 0
f (x) =
0 for x < 0.
Expectation: E(Γλ,α ) = α/λ. Variance: var(Γλ,α ) = α/λ2 .
The Gamma function:
Z ∞
Γ(α) = e−x xα−1 dx.
0
For n a positive integer:
Γ(n) = (n − 1)!.
√
Γ(1/2) = π.