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

, < x <

2
1

M (t ) = e

t + 2t 2

1 2

f ( x ) = e x if x 0

=
=

2 =
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

= 2n

(1 2t )

n2

, t<

1 2

Discrete Probability Distributions

Distribution
Binomial Negative Binomial

Parameters
n, p

Mass Function n nx f ( x ) = p x (1 p ) , x = 0, 1, 2, , n x
f ( x) =

Mean
= np
k p
1 p

Variance
2 = np (1 p )
=
2

Moment Generating Function

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

(
t

))

k, p

x 1 k x k p (1 p ) , k 1
x 1

k (1 p ) p2
1 p p2

( pe )
pet

x = k , k + 1, k + 2, K .

1 (1 p ) et
1 (1 p ) et

, t < ln (1 p )

Geometric

f ( x ) = p (1 p )

, x = 1, 2, 3,

2 =

M X (t ) =

, t < ln (1 p )

Poisson Hypergeometric

n, N, M

f ( x) = e

x! M N M

, x = 0, 1, 2,

2 =

M ( t ) = exp et 1

x nx M M , for integers x with max ( 0, n N + M ) x min ( n, M ) ; = n ; 2 = n f ( x) = N N N

1 M N

N n N 1