Summary of Special Probability Distributions

Continuous Probability Distributions

Distribution Uniform on [a, b] Normal Exponential Gamma Chi-square Parameters a, b Density Function 1 f ( x) = , a xb ba Mean
=
b+a . 2

Variance

2 =

(b a )
12

Moment Generating Function etb eta , t 0. M (t ) = (b a ) t

f ( x) =

1 e 2

( x )2
2 2

, < x <

2
1

M (t ) = e

t + 2t 2

1 2

f ( x ) = e x if x 0

=
=

2 =
2 =

, r
n

f ( x) =

(r )

x r 1e x , x > 0

, t< t r M (t ) = , t< t
1 M (t ) = 1 2 2 t
n2

M X (t ) =

n 1 1 f ( x ) = n 2 n x 2 e x 2 , x > 0 2 ( 2 )

=n

2 = 2n

(1 2t )

n2

, t<

1 2

Discrete Probability Distributions

Distribution Binomial
Negative Binomial Geometric Poisson

Parameters n, p
k, p

Mass Function
n n x f ( x ) = p x (1 p ) , x = 0, 1, 2, , n x x 1 k xk f ( x) = p (1 p ) , k 1 x = k , k + 1, k + 2, .

Mean
= np

Variance

Moment Generating Function

M ( t ) = 1 + p ( et 1)

2 = np (1 p )
k (1 p ) = p2
2

k = p

M X (t ) =

( pe )

t k k

t 1 (1 p ) e

, t < ln (1 p )

f ( x ) = p (1 p ) f ( x ) = e

x 1

, x = 1, 2, 3,

1 p

2 =

1 p p2

M X (t ) =

pet , t < ln (1 p ) 1 (1 p ) et

x
x!

, x = 0, 1, 2,

2 =

t M ( t ) = exp ( e 1)