Statistical Distributions

Discrete Distributions
1. The uniform distribution. A random variable (r.v.) X has a uniform distribution on the
n-element set A = {x1 , x2 , . . . , xn } if P (X = x) = 1/n whenever x is in the set A. The
following applies to the special case A = {1, 2, . . . , n}.
Support: x = 1, 2, . . . , n.
Parameters: n.
Probability function (p.f.): f (x|n) = 1/n, x = 1, 2, . . . , n.
Moment generating function (m.g.f.): M (t) =

et (1etn )
n(1et ) ,

t 6= 0, and M (t) = 1 for t = 0.

V ar(X) = (n2 1)/12.

Mean and variance: E(X) = (n + 1)/2,

2. The Bernoulli distribution. A random variable X has a Bernoulli distribution with parameter p (0 p 1) if it takes only values 0 and 1 with probabilities 1 p and p, respectively.
Notation: Bernoulli(p).
Support: x = 0, 1.
Parameters: 0 p 1.
Probability function (p.f.): f (x|p) = px (1 p)1x for x = 0, 1.
Moment generating function (m.g.f.): M (t) = pet + (1 p).
Mean and variance: E(X) = p,

V ar(X) = p(1 p).

3. The binomial distribution. If X1 , . . . , Xn are independent, identically distributed (i.i.d.)

Bernoulli r.v.s with parameter p, then X = X1 + + Xn has a binomial distribution with
parameters n and p. If a lot contains N items, of which A are defective, and if a sample of
size n items is chosen with replacement from the lot, then the number of defective items
in the sample, X, has a binomial distribution with parameters n and p = A/N .
Notation: Bin(n, p).
Support: x = 0, . . . , n.
Parameters: 0 p 1 and n {1, 2, . . .}.
P.f.: f (x|n, p) =

n!
x
x!(nx)! p (1

p)nx .

M.g.f.: M (t) = [pet + (1 p)]n .

Mean and variance: E(X) = np,

V ar(X) = np(1 p).

4. The hypergeometric distribution. If a lot contains N items, of which A are defective

(and B = N A are non-defective), and if a sample of size n items is chosen without
replacement from the lot, then the number of defective items in the sample, X, has a
hypergeometric distribution with parameters A, B, and n.
Notation: Hyp(A, B, n).

Support: max{0, n B} x min{n, A}.

Parameters: A, B, n {1, 2, . . .}.
P.f.: f (x|A, B, n) =

(A+B)!
A!
B!
x!(Ax)! (nx)!(Bn+x)! / n!(A+Bn)! .

Mean and variance: E(X) = np,

V ar(X) = np(1 p) A+Bn

A+B1 , where p =

A
A+B .

5. The geometric distribution. Consider a sequence of Bernoulli trials in which the outcome
of any trial is either 1 (success) or 0 (failure) and the probability of success on any trial is p.
Let X denote the number of trials needed so that the success occurs for the first time at the
last trial. Then, X is said to have a geometric distribution with parameter p.
Notation: Geo(p).
Support: positive integers.
Parameters: 0 p 1.
P.f.: f (x|p) = p(1 p)x1 , x = 1, 2, 3, . . ..
M.g.f.: M (t) =

pet
1(1p)et ,

t < ln(1/(1 p)).

Mean and variance: E(X) = 1p ,

V ar(X) =

1p
p2 .

Note. An alternative definition of geometric distribution: number of failures, Y , that occur

before the first success is obtained (this is the definition adopted in the text). Since X 1 = Y ,
the formulas for Y are easily derived from those for X:
Support: non-negative integers.
Parameters: 0 p 1.
P.f.: f (x|p) = p(1 p)x , x = 0, 1, 2, . . ..
M.g.f.: M (t) =

p
1(1p)et ,

t < ln(1/(1 p)).

Mean and variance: E(X) =

1p
p ,

V ar(X) =

1p
p2 .

6. The negative binomial distribution. Consider a sequence of Bernoulli trials in which

the outcome of any trial is either 1 (success) or 0 (failure) and the probability of success
on any trial is p. Let X denote the number of trials needed so that the success occurs for
the rth time at the last trial. Then, X is said to have a negative binomial distribution with
parameters r and p. If X1 , . . . , Xr are i.i.d. r.v.s and each has a Geo(p) distribution, then
X = X1 + + Xr has a negative binomial distribution with parameters r and p.
Notation: N B(r, p).
Support: x {r, r + 1, r + 2, . . .}.
Parameters: r {1, 2, 3, . . .} and 0 p 1.
P.f.: f (x|r, p) =
M.g.f.: M (t) =

(x1)!
r
(r1)!(xr)! p (1
h
ir
pet
1(1p)et

p)xr .

, t < ln(1/(1 p)).

Mean and variance: E(X) = r/p,

V ar(X) =

r(1p)
.
p2

Note. An alternative definition of negative binomial distribution: number of failures, Y ,

that occur before the rth success is obtained (this definition is adotped in our text). Since
X r = Y , the formulas for Y are easily derived from those for X:
Support: non-negative integers.
Parameters: r {1, 2, 3, . . .} and 0 p 1.
P.f.: f (x|r, p) =
M.g.f.: M (t) =

(r+x1)! r
(r1)!x! p (1
h
ir
p
1(1p)et

p)x , x = 0, 1, 2, . . ..

, t < ln(1/(1 p)).

Mean and variance: E(X) =

r(1p)
p ,

V ar(X) =

r(1p)
p2 .

7. The Poisson distribution.

Notation: P oisson().
Support: x {0, 1, 2, . . .}.
Parameters: > 0.
e x
x! .
t
= e(e 1) .

P.f.: f (x|) =
M.g.f.: M (t)

Mean and variance: E(X) = ,

V ar(X) = .

8. The multinomial distribution. This is a multivariate distribution where each of n independent trials can result in one of r types of outcomes, and on each trial the probabilities of
the r outcomes are p1 , p2 , . . . , pr . The variable here is a vector (X1 , . . . , Xr ), where Xi is the
number of outcomes of type i
Support: xi {0, 1, 2, . . . n}, i = 1, 2, . . . r, x1 + + xr = n.
Parameters: n, r - positive integers, n > r > 1; p1 , p2 , . . . , pr - positive numbers that add
up to one.
P.f.: f (x1 , . . . , xr ) =

x1
n!
x1 !...xr ! p1

. . . pxr r .

M.g.f.:
Mean and variance: E(Xi ) = npi ,

V ar(Xi ) = npi (1 pi ).

Continuous distributions
1. The uniform distribution.
Notation: U (a, b).
Support: x [a, b].
Parameters: < a < b < .
Probability density function (p.d.f ): f (x|a, b) =
M.g.f.: M (t) =

1
ba .

ebt eat
(ba)t .

Mean and variance: E(X) =

a+b
2 ,

V ar(X) =
3

(ba)2
12 .

Mode:
Median:

a+b
2 .

2. The exponential distribution.

Notation: Exp().
Support: x 0.
Parameters: > 0.
P.d.f: f (x|) = ex .
M.g.f.: M (t) =

t ,

t < .
V ar(X) = 1/ 2 .

Mean and variance: E(X) = 1/,

Mode: 0.
Median: ln 2/

3. The gamma distribution. For any > 0, the value () denotes the integral 0 x1 ex dx,
and is called the gamma function. Some properties of the gamma function include: (+1) =
(), (n) = (n 1)! for any integer n 1, and (1/2) = 1/2 .
Notation: G(, ).
Support: x 0.
Parameters: , > 0.
P.d.f: f (x|, ) =
M.g.f.: M (t) =

1 x
e
.
() x


, t < .

V ar(X) = / 2 .

Mean and variance: E(X) = /,

Mode: ( 1)/ if > 1 and 0 for 0 < 1.

Notes. First, note that Exp() = G(1, ). Next, it follows from the formula of gamma m.g.f.,
that if Xi G(i , ) are independent, then X = X1 + +Xn has a gamma G(1 + +n , )
distribution. In particular, if Xi Exp() are independent, then X = X1 + + Xn
G(n, ).
4. The chi-square distribution with n degrees of freedom. Special case of gamma distribution G(, ) with = n/2, = 1/2, n = 1, 2, 3, . . ..
Notation: 2n .
Support: x 0.
Parameters: n - a positive integer called the degrees of freedom.
P.d.f: f (x|n) =
M.g.f.: M (t) =

1
1
xn/21 e 2 x .
(n/2)2n/2

1
12t

n/2

, t < 1/2.

Mean and variance: E(X) = n,

V ar(X) = 2n.

Mode: n 2 if n 2 and 0 for n = 1.

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Notes. The chi-square distribution arises in connection with random samples from the normal
distribution: If Z1 , . . . Zn are i.i.d. standard normal variables, then the quantity
X = Z12 + + Zn2
has the 2n distribution. Consequently, if X1 , . . . Xn are i.i.d. normal N (, ) variables, then
the quantity
n
1 X
X= 2
(Xi )2
i=1
has the 2n distribution. It is also true that under the above conditions the quantity
X=

n
1 X
(Xi X)2
2 i=1

has the 2n1 distribution, where X is the sample mean of the Xi s.

5. The t distribution (Students distribution) with n degrees of freedom.
Notation: tn .
Support: < x < .
Parameters: n - a positive integer called the degrees of freedom (d.f.)
P.d.f: f (x|n) =

[(n+1)/2]

(1
n(n/2)

+ x2 /n)(n+1)/2 .

M.g.f.:
Mean and variance: E(X) = 0 (for n > 1),

V ar(X) = n/(n 2) (for n > 2).

Mode: 0.
Median: 0
Notes. The t distribution is related to the normal and chi-square distributions, and arises in
connection with random samples from the normal distribution.
If Z is standard normal and
p
U is chi-square with n d.f., then the quantity X = Z/ U/n has the t distribution with n d.f.
Consequently, if X1 , . . . , Xn are i.i.d. normal N (, ) variables, then the quantity
X=

X
,
S/ n

where X is the sample mean of the Xi s and

S2 =

n
1 X
(Xi X)2
n 1 i=1

is the sample variance of the Xi s, has the tn1 distribution.

6. The F distribution with m and n degrees of freedom.
Notation: Fm,n .
Support: x 0.
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Parameters: m and n - positive integers called the degrees of freedom (d.f.)

P.d.f: f (x|m, n) =

[(m+n)/2]
m/2 xm/21 (1
(m/2)(n/2) (m/n)

Mean and variance: E(X) =

n
n2

+ mx/n)(m+n)/2 .

(for n > 2),

V ar(X) =

2n2 (m+n2)
m(n2)2 (n4)

(for n > 4).

Notes. The F distribution is related to chi-square distribution, and arises in connection with
two independent random samples from normal distributions. If U and V are independent
chi-square random variables with m and n degrees of freedom, respectively, then the quantity
X=

U/m
V /n

has the F distribution with m and n d.f. Consequently, if X1 , . . . , Xm are i.i.d. normal
N (1 , ) variables, and if Y1 , . . . , Yn are i.i.d. normal N (2 , ) variables, then the quantity
X = S12 /S22 has the Fm1,n1 distribution, where
S12 =

m
n
1 X
1 X
(Xi X)2 and S22 =
(Yi Y )2
m 1 i=1
n 1 i=1

are the sample variances of the Xi s and the Yi s.

7. The Beta distribution.
Notation: Beta(, ).
Support: 0 x 1.
Parameters: , > 0.
P.d.f: f (x|, ) =

(+) 1
(1
()() x

Mean and variance: E(X) =

x)1 .

+ ,

V ar(X) =

.
(+)2 (++1)

Note. Special case: Beta(1, 1) = U (0, 1).

8. The normal distribution.
Notation: N (, ).
Support: < x < .
Parameters: < < and > 0.
P.d.f: f (x|, ) =

1 e
2

t+ 2 t2 /2

M.g.f.: M (t) = e

(x)2
2 2

Mean and variance: E(X) = ,

V ar(X) = 2 .

Mode:
Median:
9. The lognormal distribution.
Notation: LN (, ).

Support: x 0.
Parameters: < < and > 0.
P.d.f: f (x|, ) =

1
e
2x

(ln x)2
2 2

Mean and variance: E(X) = e+

Mode: e

2 /2

V ar(X) = (e 1)e2+ .

2 /2

Median: e
Note. If Y is normal N (, ) then X = eY is LN (, ).
10. The Pareto distribution.
Notation: P (k, ).
Support: x k.
Parameters: k > 0 and > 0.
P.d.f: f (x|k, ) = k x(+1) .
Mean and variance: E(X) =

k
1

(for > 1), V ar(X) =

k2
(2)(1)2

(for > 2).

Mode: k
Median: 21/ k
11. The Laplace (double exponential) distribution.
Notation: L(, ).
Support: < x < .
Parameters: < < and > 0.
|x|

1
.
2 e
t
e
, 1/
1t2 2

P.d.f: f (x|, ) =
M.g.f.: M (t) =

< t < 1/.

Mean and variance: E(X) = ,

V ar(X) = 2 2 .

Mode:
Median:
12. The Cauchy distribution.
Notation:
Support: < x < .
Parameters: < < and > 0.
h

P.d.f: f (x|, ) = ()1 1 + {(x )/)}2

i1

Mean and variance: Do not exist.

Mode:
Median:
Note. The standard Cauchy distribution corresponds to = 0 and = 1.
7

13. The Weibull distribution.

Notation: W (, ).
Support: x 0.
Parameters: , > 0.
P.d.f: f (x|, ) =

x 1 (x/)
e
.

Mean and variance: E(X) = (1 + 1/), V ar(X) = 2 [(1 + 2/) {(1 + 1/)}2 ].
Mode:


1 1/

if > 1 and 0 for 0 < 1.

Median: (ln 2)1/

Notes. If X is standard exponential, then W = X 1/ has the W (, ) distribution.
14. The bivariate normal distribution. Joint continuous distribution of X and Y .
Notation: N (1 , 2 , 1 , 2 , ).
Support: < x, y < .
Parameters: < 1 , 2 < , 1 , 2 > 0, 1 < < 1.
P.d.f:
f (x, y) =

21 2 1 2

1
2(12 )

(x1 )2
(y2 )2
+
2
2
1
2

2(x1 )(y2 )
1 2

.
Mean and variance:
E(X) = 1 , E(Y ) = 2 , V ar(X) = 12 , V ar(Y ) = 22 , Cov(X, Y ) = 1 2
.