Poisson Distribution

An Introduction

1 Introduction
The Poisson distribution is a discrete probability distribution that gives the probability of ( is a non-negative integer ) events occurring in a fixed interval of time when
these events occur with a known average rate, and the probability of an event occurring
in a given interval of time is independent of the time since the last event. The Poisson
distribution need not be restricted to time intervals. It can also be used with space
intervals such as distance, area and volume.
Examples of distributions that follow a Poisson distribution are
The number of phone calls received by a call center per hour
The number of decay events per second from a radioactive source
The number of taxis passing a particular street corner per hour
The number of patients arriving at a hospital
The number of customers arriving in a shop

2 Derivation of the Poisson distribution

2.1 As a limit of the Binomial distribution
Recall that the Binomial distribution (with parameters and ) is the discrete probability distribution used to determine the probability of getting successes in a sequence of independent trials with binary outcomes (yes/no, true/false, pass/fail,
head/tail, ), in which the probability of a successful outcome is constant () across
all trials.
The probability of getting successes in trials is given by

(, ) = P (; , ) = ( ) (1 )

(1)

It turns out the Poisson distribution is just a special case of the Binomial distribution,
where the number of trials is large, and the probability of success in any given one is
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Poisson Distribution

An Introduction

small.
Define a number = . It is the rate of successes over a long period of time. That's
the number of trials n however many there are times the chance of success p for
each of those trials. Think of it like this if the chance of success is p and we run
n trials over a long period of time, we'll observe np successes on average. That's our
observed success rate .
As an example, let us assume the probability of a customer arriving in a given millisecond in a given shop is small (say, 0.00001). In a day, there are = 86400000
milliseconds (a large number). Here = = 864, which means that on average
we would expect to see 864 customers per day. Note that we have chosen the time (1
millisecond) to be so small that the probability of getting a customer in that interval
is very small.
= . Therefore, = .
Replacing with

in equation 1, we get


P (; , ) = ( ) (1 )

As becomes very large (tending to ), we get,

lim ( ) ( ) (1 )

!
1

= lim
( )! ! ( ) (
)

!
1


=
lim
1 ) (1 )
(

( ! ) ( )!

lim P (; , ) =

!
1

lim
1

lim
lim
1

( ! )
(
( )!
(
)
)
Term 1

Term 2

(2)

Term 3

Consider Term 1.

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Poisson Distribution

An Introduction

!
1
=
[ ( )! ]
lim

=
=
=
=

( 1) ( ) ( 1) 1 1
( )

( ) ( 1) 1
( 1) ( + 1)
lim

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

2
1
1
lim 1 ) (1 ) (1
(

)
1
lim

Now consider Term 2. By definition,

1
= lim (1 + ) .

Our goal here is to find a way to manipulate our expression to look more like the
definition of e, which we know the limit of. Let's define a number x as = . Now
let's substitute this into our expression and take the limit as follows:
lim 1
(

1 ()
= lim (1 + )
= .
)

Finally, consider Term 3.

lim (1 ) = 1.

Replacing the limits for the three terms in equation 2, we get

lim P (; , ) =

,
( ! )

(3)

which is the Poisson distribution.

2.2 A more general derivation

Consider a time interval broken into small subintervals of length (the count of
these small intervals is analogous to the trials we used in the previous derivation).
If is sufficiently short then we can neglect the probability that two events will occur
in it. Let, on an average, the number of events that occur in unit time (whatever it

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Poisson Distribution

An Introduction

may be, as long as it is consistently applied) be (see our example in section 2.1 titled
`As a limit of the Binomial distribution'). Note that the choice of is ours we can
choose it to be as small as we want.
Then, the probability of 1 event in the interval is given by
P (1; ) = ,

(4)

and the probability of 0 events can be approximated as

P (0; ) (1 ).

(5)

We are interested in determining the probability of finding events in time .

We could do that by determining the probability of finding 0 events in time (P (0; ),
and then generalize the results using induction.
Let us assume that we know P (0; ). What then is the probability of there being no
events in the interval + (P (0; + ) )?
Since the two events (0 events in , and 0 events between and + ) are independent,
then the probability of 0 events in the period + can be written as the product
P (0; + ) = P (0; ). P (0, ) = P (0; ). (1 ) .

(6)

This can then be rearranged as

P (0; + ) P (0; )
= P (0; ).

(7)

As 0, equation 7 becomes the differential equation

P(0; )
= P (0; ).

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Poisson Distribution

An Introduction

Integrating, we get the solution,

P(0; ) = + .

(9)

Now, applying boundary conditions, for = 0, P(0; 0) = 1 (No events can happen in 0
time). So 1 = 0 + = 1 + = 0.
Therefore,
P(0; ) = .

(10)

Now let us assume that there are events in the time interval + . This can happen
only in two ways based on our assumption that is so small that at most only 1 event
could happen in that interval. The two ways are:
1. events in the interval and 0 events in the interval
2. 1 events in the interval and 1 event in the interval
As these two outcomes are mutually exclusive, the probability of having events in
the interval + is nothing but the sum of the probabilities of these two outcomes.
Therefore,
P (; + ) = P (; ). P (0; ) + P ( 1; ). P (1; )
= P (; )(1 ) + P ( 1; ) .

(11)

Rearranging the terms and letting 0, we get the differential equation

P (; )
+ . P (; ) = P ( 1; ).

(12)

Equation 12 is queered by the term P ( 1; ) on the R.H.S. One of the ways of solving
such a differential equation is to find a function () such that Equation 12 can be
expressed as:
()

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P (; )

+ . P (; ) = (). P ( 1; ) =
[ (). P (; )] .
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Poisson Distribution

An Introduction

Solving for (), we have

()

P (; )
+ . P (; )
=
]

[ (). P (; )]

P (; ) ()
= ()
+
. P (; ).

Matching terms on both sides, we get

().. P (; ) =

()
. P (; ).

whence, we get the differential equation

()
= . ().

Solving which, we get,

() =
We had expressed the queering term on the R.H.S of equation 12 as

[ (). P (; )] = P ( 1; ).

Substituting for (), we get

P (; ) ] = P ( 1; ).
[

(14)

Equation 14 is important because it allows us to express recursively the probability

of getting events, in the interval , in terms of the probability of getting 1 events
during the same interval . We will use this for the inductive part of the proof.
We have already derived the probability for 0 events in the time interval (equation
eqn:p0). Let us plug that into equation 14 to get the probability of 1 event in the
interval .

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P (1; ) ] = = .
[

(15)

(C) Copyright Dr. Ravi S. Iyer

Poisson Distribution

An Introduction

Integrating equation 15, we get

P (1; ) =

= + .

Now, applying boundary conditions, for = 0, P(1; 0) = 1 (you cannot have an event
in 0 time). Plugging this into the above expression, and solving for C, we get C =0.
Therefore,
P (1; ) = .
Using this result, and equation 14 (after integrating and applying the boundary conditions ), we get
P (2; ) =

( )2
.
2

P (3; ) =

( )3
.
3!

P (4; ) =

( )4
.
4!

Similarly, we get

and

We see a trend here. P (; ) seems to have the form

( )
.
!

Let us therefore assert that the probability of finding events in the time period is
given by
P (; ) =

( )
.
!

(16)

We have already shown that this is true for = 0, 1, 2, 3, 4. Using the differential
equation 14 with + 1 on the L.H.S and substituting for P (; ) on the R.H.S (equation
16), we have,
( )
( )

P ( + 1; ) ] =

=
.
[

!
!

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Poisson Distribution

An Introduction

Integrating, we get
( )

!
( )+1
=
+ .
( + 1)!

P ( + 1; ) =

(18)

Imposing the boundary condition that P ( + 1; ) = 0, and solving for C, we get C =0.
So,
P ( + 1; ) =

( )+1
.
( + 1)!

Thus, P (; ) P ( + 1; ). Therefore our assertion (equation 16) is valid. Thus, the

Poisson distribution has the probability mass function
P (; ) =

( )
.
!

(19)

Hence the proof.

Please Note: The Poisson distribution has a single parameter (), which distinguishes one Poisson distribution from another. As seen before, by definition, is
the long term average.

2.3 Verifying that the Poisson distribution is a probability distribution

To be a probability distribution, the Poisson distribution needs to satisfy the following
criteria:
1. For each integer , 0, probability 0 P (; ) 1.
2. The sum of the probabilities over the set of non-negative integers for a given
should add up to 1.
Now, is the long term average of the number of events that occur in a large time
interval . Alternatively, = , where is a very large number of trials, and is
the probability of success ( corresponds to the occurrence of an event) per trial. From
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Poisson Distribution

An Introduction

both these definitions, it is evident that 0.

Therefore for integer , 0, on the basis of number of trials ( = )

0,
( ! )
or, equivalently, on the basis of time intervals ( is the long term average)
( )

0,
!
Next,

=
( ! )
( ! )
=0
=0
=
=

1++

2 3
+
+
)
2! 3!

= 1
Similarly,

( )
( )
( ) = ( )
( ! )
( ! )
=0
=0
= ( )

1 + ( ) +

( )2 ( )3
+
+
)
2!
3!

= ( ) .( )
= 1
Hence, we prove that the Poisson distribution, expressed in either form, is a probability distribution.

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Poisson Distribution

An Introduction

3 Mean and Variance

Mathematically, there is no difference between the two forms of the Poisson distribution function. It is merely the interpretation of that differs. We will therefore use
the first ( = ) form.
The mean, or expected value of , is written as

E [] =

( ! )
=0
.

= 0+

( ! )

=1

.
( ! )

=1

1
( ( 1)! )
(1) = 0

( ! )
=0

=
=
This was expected because we have assumed right at the beginning that is nothing
but the long term average and built the probability distribution around that. So, the
math just gives that back.
So, what is the variance?

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Poisson Distribution

An Introduction

var [] =

( )2 .

(
! )

=0

= .

(2 + 2 2).
{
! }

=0

= .[

2 .

=0

+ 2
2
. ]
!
!
!
=0
=0

= .[(
+

2
.

! ]
! )

=0
=0

2 .

Term 1

(20)

Term 2

Consider Term 2 in the expression 20.

=0

Let

= 0 + .

1
( 1)!
=1

= ( 1)

= .

!
=0

= .

(21)

Using this result in evaluating Consider Term 2 in the expression 20, we get,

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Poisson Distribution

An Introduction

!
=0
2

2 .

=1

=1

= ( 1)

Let

1
( 1)!

.
( 1)!
=1

( + 1).

=0

=0

+
!
!
=0

= 2 . + .
Replacing terms 1 and 2 in the expression 20, we get,

var [] = [2 . + . + 2 22 ]
=

(22)

Figure 1 shows the Poisson distribution for different values of .

Let us take a look at the value of the mode of the distribution. This value of at which
the mode occurs can be found by differentiating the pmf (equation 3) with respect to
, setting it 0, and solving for .

=
)
( !
Or,

1
= 0
( 1)!
!

1
(1 ) = 0
( 1)!

i.e., the mode is at = .

Theres a problem, need not be an integer. Then how do you compute !?

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Poisson Distribution

An Introduction

Figure 1: Plot of Poisson distribution for different values.

A look at figure 1 shows that mode value corresponds to = ( 1) or = . This
is defined to be the mode of the Poisson distribution.
The gamma function (represented by the capital Greek letter ) is an extension of the
factorial functiont o real and complex numbers. The difference is that its argument
is 1 less, that is, if is a positive integer:
() = ( 1)! .
The gamma function is defined for all complex numbers except 0 and negative inte-

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Poisson Distribution

An Introduction

gers, and is defined as

() =

1 .

(23)

Let us evaluate this integrand. Integrating by parts, we set

= 1 . = ( 2)2
= . =
Using the identity

we have,

() =

= 1 | +
0

( 1)2

0
= ( 1) ( 1).

= 0 + ( 1)

(24)

Compare equation 24 with the expression for the regular factorial

! = .( 1)!
Remember, () is actually equivalent to to ( 1)!. So, () = ( 1) ( 1) is
equivalent to ( 1)! = ( 1).( 2)!.
Stated without proof:
().(1 ) =

1
=
sin()
sinc ()

(25)

We will use this to prove ( 12 ).

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Poisson Distribution

An Introduction

1
1
1 2
( ) . (1 ) = ( )
2
2
2

=
sin(/2)
=
1
( ) =
2
A few values for the Gamma function.
1. (1) = 2! =
2. (0) = (1)! =
3. (1) = 1
4. ( 12 ) = 2
5. ( 12 ) =
6. ( 32 ) = 21
The MATLAB/Gnu-Octave function gamma(x) gives the value of ().

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