Some Common Probability Distributions

(?) Binomial: Bin(n, p): n ≥ 1 an integer and 0 ≤ p ≤ 1

pmf : p(k) = nk pk (a − p)n−k , k = 0, 1, 2, . . . , n

E(X) = np Var(X) = np(1 − p) m(t) = (1 − p + pet )n

k
(?) Poisson(λ): λ > 0, pmf : p(k) = e−λ λk! , k = 0, 1, 2, . . .
t −1)
E(X) = λ Var(X) = λ m(t) = eλ(e

(?) Geometric(p): 0<p<1 pmf : p(k) = p(1 − p)k−1 , k = 1, 2, . . .

1 1−p pet
E(X) = p Var(X) = p2
m(t) = 1−(1−p)et

(?) Negative Binomial(r, p): r ≥ 1 is an integer and 0 < p < 1.

pmf : p(k) = k−1

r k−r ,
r−1 p (1 − p) k = r, r + 1, . . .
h ir
pet
E(X) = pr Var(X) = r(1−p)
p2
m(t) = 1−(1−p)et

(?) Normal: N (µ, σ 2 ): µ any real number σ ≥ 0.

(x−µ)2
√1 e −
pdf : f (x) = 2π σ
2σ 2 , −∞ < x < ∞
1 2
σ2
E(X) = µ Var(X) = σ 2 m(t) = eµ t+ 2 t

r
(?) Gamma(r, λ): r > 0 and λ > 0. λ
pdf : f (x) = Γ(λ) xr−1 e−λ x , x > 0
 r
r r λ
E(X) = λ Var(X) = λ2
m(t) = λ−t , if t < λ

(?) Exponential(λ): λ > 0, pdf : f (x) = λe−λ x , x>0

[Special case of Gamma with r = 1.]
 
1 1 λ
E(X) = λ Var(X) = λ2
m(t) = λ−t , if t < λ

(?) Chi-square with degrees of freedom n: χ2n : n ≥ 1 integer

n
pdf : f (x) = 1
2n/2 Γ(n/2)
x 2 −1 e−x/2 , x>0
n
[Special case of Gamma with r = 2 and λ = 12 ]
E(X) = n Var(X) = 2n m(t) = (1 − 2t)−n/2 , if t < 1
2

1
(?) Uniform(a, b): b > a, pdf : f (x) = b−a , a<x<b
b+a (b−a)2 etb −eta
E(X) = 2 Var(X) = 12 m(t) = t