Some Absolutely Continuous Distributions

Name

Notation

p.d.f.

range

m.g.f.

mean

variance

Uniform

U (a, b)

1
ba

axb

eb ea
(ba)

a+b
2

(ba)2
12

Normal

N (, 2 )

Gamma

(t, )

t t1 x
e
(t) x

0<x<,
t,>0

t
2

Exponential

Exp()

ex

0<x<,
>0

1
2

Chi-square

2n

1
xn/21 ex/2
2n/2 (n/2)

0<x<,
n>0 integer

(1 2)n/2

2n

0<x<1,
1 ,2 >0

not useful

1
1 +2

1 2
(1 +2 )2 (1 +2 +1)

<x<,
>0

doesnt exist
but char. fn.
is ei||

1
2 2

Cauchy

Multivariate
Normal

(x)2
2 2

(1 +2 ) 1 1
(1
(1 )(2 ) x

(1 , 2 )

Beta

exp

x)2 1

(2 +(x)2 )

exp

N (, )

< x <

12 (x)T 1 (x)
(2)d/2 det()1/2

x Rd

e+ 2

2 2

1
+ 2 T

no moments exist

covariance
matrix

Some Discrete Distributions

(All distributions below have integer-valued ranges)

Name

Notation

Binomial

Bin(n, p)

Poisson

Pois()

prob. fn.

range

m.g.f.

mean

variance

px (1 p)nx

0xn
0<p<1

[(1 p) + pe ]n

np

np(1 p)

n
x

e x
x!
a
x

b
nx
a+b
n

0x<
>0 real

e(e

1)

0xn
a,b>0 integers

not useful

na
a+b

nab(a+bn)
(a+b)2 (a+b1)

Nbin(k, p)

( )( )
( )
x1 k
xk
k1 p (1 p)

kx<,
0<p<1

pk [e (1 p)]k

k/p

k(1 p)/p2

Geo(p)

p(1 p)x1

1x<
0<p<1

p[e (1 p)]1

1/p

(1 p)/p2

Hypergeometric

Hgeo(n, a, b)

Negative
binomial
Geometric

Multinomial: multivariate extension of binomial

Prob. fn. is given by
f (x1 , x2 , . . . , xk ) =

n!
xk+1
px1 px2 . . . pxkk pk+1
,
x! !x2 ! . . . xk !xk+1 ! 1 2

0 xi n, 0 < pi < 1 i = 1, 2, . . . , n + 1

where p1 + p2 + + pk+1 = 1 and x1 + x2 + + xk+1 = n.

The m.g.f. is given by
[p1 e1 + p2 e2 + + pk ek + pk+1 ]n .
Moments: E(Xi ) = npi , Var(Xi ) = npi (1 pi ), cov(Xi , Xj ) = npi pj , i, j = 1, 2, . . . , n + 1.